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Unit information: Advanced Econometric Theory (QM6) in 2020/21

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Unit name Advanced Econometric Theory (QM6)
Unit code ECON30392
Credit points 20
Level of study H/6
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Sokullu
Open unit status Not open

EFIM30050 Foundations of Econometric Theory



School/department School of Economics
Faculty Faculty of Social Sciences and Law


Specialised topics in econometrics theory will be discussed. The first part will examine hypothesis testing. The second part will focus on large sample properties of the OLS and Maximum Likelihood estimators. The third part is concerned with general testing procedures based on the principle of maximum likelihood. The fourth part consists of instrumental variables estimation. Part five deals with time series econometrics.

Intended learning outcomes

At the end of the course, students should be able to:

  1. Demonstrate a good knowledge of some specialised topics in econometric theory.
  2. Develop a theoretical argument in econometrics using propositions and theorems
  3. Rigorously prove the properties of some estimators.

Teaching details

Teaching will be delivered through a combination of synchronous and asynchronous sessions such as online teaching for large and small group, face-to-face small group classes (where possible) and interactive learning activities

Assessment Details

Online exam - 100%

Reading and References

  • Greene W.H. (2012), Econometric Analysis, (7th Edition), Prentice Hall, Chapter 17
  • Spanos, A. (1986), Statistical Foundations of Econometrics Modelling, CUP, Chapter 14
  • Wooldridge J.M. (2010), Econometric Analysis of Cross Section and Panel Data, 2nd Edition, MIT, Chapter 13
  • Greene, W.H. (2012), Econometric Analysis, 7th Edition, Prentice Hall, Chapters 8, 13, 14, 20, 21
  • Ruud, P.A. (2000), An Introduction to Classical Econometric Theory, Oxford, Chapters 19, 20, 21, 25