Econometric Theory I

Module description

Econometrics is the branch of economics devoted to the development and application of statistical methods to the study and clarification of the economic phenomena. This module provides an advanced introduction to econometric theory, understood as a collection of mathematical and statistical concepts and principles which motivates much of the empirical analysis conducted by economists.

Full module specification

Module title:Econometric Theory I
Module code:BEEM139
Module level:M
Academic year:2019/0
Module lecturers:
  • Dr Sebastian Kripfganz - Convenor
Module credit:15
ECTS value:

7.5

Pre-requisites:

Only available to MRes Economics PhD pathway students

Co-requisites:

None

Duration of module: Duration (weeks) - term 1:

11

Module aims

This module aims at providing the students with an introduction to the theory of econometrics covering important topics in econometric estimation and inference. The module will provide students with the necessary knowledge for understanding recent developments in econometrics.

The module will help students carry out future applied econometric analysis by allowing them to understand the underlying econometric theory, which is important in order to make reasonable judgments about the methods to implement.

ILO: Module-specific skills

  • 1. explain theoretical aspects of important topics in econometrics

ILO: Discipline-specific skills

  • 2. apply important general principles and tools used in econometrics
  • 3. demonstrate a specialised knowledge of theoretical aspects of econometrics to enable you to carry out applied research or direct you towards an academic career

ILO: Personal and key skills

  • 4. demonstrate a logical attitude towards the solution of problems
  • 5. demonstrate confidence in identifying, tackling and solving research problems

Learning activities and teaching methods (given in hours of study time)

Scheduled Learning and Teaching ActivitiesGuided independent studyPlacement / study abroad
32118

Details of learning activities and teaching methods

CategoryHours of study timeDescription
Scheduled Learning and Teaching22Lectures
Scheduled Learning and Teaching10Tutorials
Independent Study118Independent study

Formative assessment

Form of assessmentSize of the assessment (eg length / duration)ILOs assessedFeedback method
Bi-weekly exercises1-6 questions1-5Oral/written

Summative assessment (% of credit)

CourseworkWritten examsPractical exams
30700

Details of summative assessment

Form of assessment% of creditSize of the assessment (eg length / duration)ILOs assessedFeedback method
Problem Set152-4 problems1-5Oral/Written
Problem Set152-4 problems1-5Oral/Written
Final Exam702 hours1-5Oral/Written

Details of re-assessment (where required by referral or deferral)

Original form of assessmentForm of re-assessmentILOs re-assessedTimescale for re-assessment
Problem sets and final examExam (2 hours)1-5August

Syllabus plan

The following non-exclusive list gives an indication about possible topics covered by this module:
1. Review of matrix algebra and statistical theory
2. The linear regression model
-Ordinary least squares estimation
-Unbiasedness and efficiency
3. Model specification and hypothesis testing
-The partitioned regression model
-Omitted variables and irrelevant regressors
-Goodness of fit
-Testing linear restrictions
4. Asymptotic theory
-Modes of convergence
-Consistency and asymptotic normality

Indicative learning resources - Basic reading

Main textbook:
Greene, W. H. (2012). Econometric Analysis, 7th Edition (Int. Edition), Essex: Pearson.

Additional reading:
Davidson, R. and MacKinnon, J. (2009). Econometric Theory and Methods, Int. Edition, New York:
Oxford University Press.
Hayashi, F. (2000). Econometrics, New Jersey; Woodstock: Princeton University Press.
Johnston, J. and DiNardo, J. (1997), Econometric Methods, 4th Edition, New York: McGraw-Hill.
Verbeek, M. (2012). A Guide to Modern Econometrics, 4th Edition, Chichester: Wiley.

Module has an active ELE page?

Yes

Origin date

04/04/2016

Last revision date

20/08/2019