EC443
Econometrics for MRes students
This information is for the 2024/25 session.
Teacher responsible
Dr Yike Wang SAL.4.26, Prof Taisuke Otsu SAL.4.25 and Prof Jorn Pischke SAL.2.16
Availability
This course is compulsory on the MRes/PhD in Finance. This course is available on the MRes/PhD in Economics, MRes/PhD in Economics and Management and MRes/PhD in Management (Marketing). This course is not available as an outside option.
Pre-requisites
Students should have completed an undergraduate level course in econometrics and statistical theory. Linear algebra and multivariate calculus will be used frequently.
Course content
The first part of the course begins with a review of linear regression analysis. It proceeds with discussions on linear instrumental variable (IV) regression, generalised method of moments (GMM), panel data analysis, nonparametric methods, and treatment effect analysis. Then it discusses estimation and inference on general nonlinear models including various limited dependent variable models. It also covers basics of time series analysis and additional topics, such as bootstrap, quantile regression, and machine learning are also covered.
The second part of the course focuses on programme evaluation methods frequently used in applied microeconomics. It discusses issues arising in regression control, instrumental variables, differences-in-differences and fixed effects methods, regression discontinuity designs, and statistical inference. Throughout, the discussions are supported by many empirical applications.
Teaching
30 hours of lectures and 15 hours of classes in the AT. 30 hours of lectures and 15 hours of classes in the WT. This course is delivered through a combination of classes and lectures totalling a minimum of 90 hours across Autumn Term and Winter Term. Attendance at lectures and classes is compulsory.
Formative coursework
Compulsory exercises are set for each class. A mock exam will take place in early WT.
Indicative reading
Course material will be made available through the course Moodle page. Please note there is no set book for this course.
Recommended books are:
- J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, 2010
- B. Hansen, Econometrics, 2022
- J. Angrist and J. S. Pischke, Mostly Harmless Econometrics, 2009
- F. Hayashi, Econometrics, 2000
- T Amemiya, Advanced Econometrics, Harvard University Press, 1985.
Assessment
Exam (65%, duration: 2 hours, reading time: 15 minutes) in the spring exam period.
Coursework (35%) in the WT.
Key facts
Department: Economics
Total students 2023/24: 29
Average class size 2023/24: 12
Controlled access 2023/24: Yes
Value: One Unit
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.