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EC902: Quantitative Methods: Econometrics A

  • Gianna Boero

    Module Leader
  • Manuel Bagues

    Module Leader
  • Subham Kailthya

    Module Lecturer
20/50 CATS - Department of Economics

Principal Aims

EC902-50 Quantitative Methods: Econometrics A

Principal Learning Outcomes

20 CATS

Demonstrate an understanding of material needed for empirical quantitative analysis.

Demonstrate knowledge of the theory and practice of modern econometrics, particularly applied econometrics.

Demonstrate the development of the habit of thought, knowledge and understanding to be able to carry out applied econometric research.

Develop the critical insight to appraise econometric results obtained by other researchers.

50 CATS

Subject Knowledge and Understanding: Demonstrate an understanding of fundamental concepts in mathematics and statistics relevant to the other core modules and be able to apply these concepts to economics.

Subject Knowledge and Understanding:...demonstrate a deep understanding of material needed for empirical quantitative analysis.

Subject Knowledge and Understanding:...demonstrate a full knowledge of the theory and practice of modern econometrics, particularly applied econometrics.

Subject Specific and Professional Skills:...demonstrate the development of the habit of thought, knowledge and understanding to be able to carry out good quality applied econometric research with confidence and authority.

Cognitive Skills:...develop the critical insight to appraise econometric results obtained by other researchers.

Syllabus

20 CATS

The syllabus for this module will be based on the following topics; however this list is not limited to those listed below and does not infer all of these topics will be studied in the module.

The autumn term will cover Linear Regression Model (LRM), Maximum Likelihood Estimation (MLE), hypothesis testing, model diagnostics, limited dependent variable models, measurement error, simultaneity bias, endogeneity, instrumental variables, and Generalised Method of Moments (GMM).

50 CATS

The syllabus for this module will be based on the following topics; however this list is not limited to those listed below and does not infer all of these topics will be studied in the module.

Introductory Mathematics and Statistics: pre-sessional topics covered will include linear algebra, multivariate calculus and constrained optimisation, differential and difference equations, basic probability theory and hypothesis testing.

Econometrics:

Term 1 will cover Randomized control trials, Identification based on observables (e.g. OLS), Instrumental variables Differences-in-differences, Regression discontinuity design.

Term 2 will cover the econometric modelling of economic and financial time-series data. This will include time series models, modelling univariate time series, unit root processes, multivariate time series, autoregressive conditional heteroskedasticity, and panel data.

Context

Optional Module
V7L2 - Year 1, V7L3 - Year 1
Pre or Co-requisites
Technical prerequisites (besides a first degree in economics) are elementary probability and statistics, mathematics for economists and algebraic facility.

Assessment

Assessment Method
20 CATS - Coursework (20%) + Examination (80%) 50 CATS - Coursework (45%) + Online Examination (55%)
Coursework Details
20 CATS: Examination (80%) , Other (20%)
50 CATS: Online Examination (55%) , Project (25%) , Test 1 (4%) , Test 2 (6%) , Test 3 (10%)
Exam Timing
Summer

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