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EC9A3: Advanced Econometric Theory

  • Giovanni Ricco

    Module Lecturer
  • Luis Candelaria

    Module Lecturer
  • Mingli Chen

    Module Lecturer
35 CATS - Department of Economics

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.

Syllabus

The module will typically cover the following topics: Essentials of statistics: estimation, confidence intervals, testing; Generalized Method of Moments Estimators; Panel data models; Modes of convergence; Consistency and Asymptotic Normality of Ordinary Least Squares Estimators; Hypothesis Testing: Wald, Lagrange Multiplier and Likelihood Ratio Test; Law of Large Numbers; Central Limit Theorems. Estimation of Asymptotic Covariance Matrices; Instrumental Variables Estimators: (1) Consistency and Asymptotic Normality, (2) Weak instruments and weak identification (Stock et al.)

Context

Assessment

Assessment Method
100% assessment
Coursework Details
4 x 2 hour class tests of 12.5% each and one final class test worth 50%
Exam Timing
N/A

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