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EC9A3: Advanced Econometric Theory

  • Eric Renault

    Module Leader
  • Luis Candelaria

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

Principal Aims

The module provides students with 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, the students will learn 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

"Subject Knowledge and Understanding: Demonstrate an advanced understanding of the main aspects of modern econometric theory and techniques used in research at the forefront of the field. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and independent study The summative assessment methods that measure the achievement of this learning outcome are: Assessments"

"Subject Knowledge and Understanding: Demonstrate advanced understanding of material required for empirical quantitative analysis. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and independent study The summative assessment methods that measure the achievement of this learning outcome are: Assessments"

"Subject Knowledge and Understanding: Demonstrate advanced knowledge of recent research in the key areas of econometric theory. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and independent study The summative assessment methods that measure the achievement of this learning outcome are: Assessments"

"Cognitive Skills Be in a position to critically select, evaluate and apply modern econometric techniques in their own research both in terms of theoretical as well as empirical work. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and independent study The summative assessment methods that measure the achievement of this learning outcome are: Assessments"

Syllabus

Illustrative topics might include: Econometric Model and Causality to include ATE, QTE; Identification; Review of Probability theory; Large sample inference to include modes of convergence, LLN, CLT, and the Delta method; Linear regression (consistency and asymptotic distribution); hypotheses testing (power, consistency, confidence regions, Z-statistics, Wald statistics); Bootstrap methods; Extremum estimators (consistency, asymptotic distribution); MLE estimation and the properties of the estimator; IV, GMM; Linear and non-linear static and dynamic panel data models including the case of endogenous regressors; Stationary ARMA process; Forecasting; Estimation of univariate processes; Spectral analysis; Multivariate processes; VAR, Deterministic, Stochastic trends; Factor models.

Context

Core Module
L1PJ - Year 1

Assessment

Assessment Method
Coursework (100%)
Coursework Details
In class test (25%), In class test (12%), In class test (13%), Examination (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.

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