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EC9A3: Advanced Econometric Theory

  • Wiji Arulampalam

    Module Leader
  • Giovanni Ricco

    Module Lecturer
  • Luis Candelaria

    Module Lecturer
35 CATS - Department of Economics
Spring Module
Autumn Module

Principal Aims

The module aims to develop the skills and knowledge of econometrics necessary for a career as an academic economist and in all areas where advanced research skills in economics are required. Specifically, it aims to teach the students to understand, appreciate, and ultimately contribute to, frontier research. It is intended to be comparable to modules taught in the best research universities in the USA and elsewhere in Europe.

Principal Learning Outcomes

Have a thorough understanding of the main aspects of modern econometric theory; Have a detailed knowledge of recent research in some key areas of econometric theory; Be in a position to apply modern econometric techniques in their own research.


Illustrative topics might include:


Essentials of statistics: estimation, confidence intervals, testing;

Using randomized experiments to estimate average and quantile treatment effects;

OLS regressions and matching;

M-estimation and the generalized method of moments;

2SLS regressions and the LATE theorems;

Panel data models;


Bayesian methods and macroeconometrics:

Consistency and Asymptotic Normality of Generalized Method of Moments Estimators (GMM)

Bootstrap Refinements for GMM Estimators.

Inference with nuisance parameters unidentified under the null:

• (a) Consistent Conditional Moment Tests

• (a1) Set-up and asymptotics (Bierens)

• (a2) Computing Critical Values

• (b) Tests for structural breaks.


Core Module
L1PJ - Year 1


Assessment Method
100% assessment
Coursework Details
1 x test (25%), 1 x test (12.5%), 1 x assessment (12.5%) and 1 x final class test (50%)
Exam Timing

Exam Rubric

Time Allowed: 3 Hours

Answer ALL questions. Use a separate answer booklet for each section.

Approved pocket calculators are allowed.

Read carefully the instructions on the answer book provided and make sure that the particulars required are entered on each answer book.

Previous exam papers can be found in the University’s past papers archive. Please note that previous exam papers may not have operated under the same exam rubric or assessment weightings as those for the current academic year. The content of past papers may also be different.

Reading Lists