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Dr. Marcia Schafgans 32L 4.12 (LT)

This course is available to General Course ‘Spring Semester’ students subject to approval from the lecturer.

Students must have completed Mathematical Methods (MA100) and Elementary Statistical Theory (ST102) or equivalent.

We will look at students’ transcript and subject them to a brief online quiz to evaluate their suitability.

This course is a more advanced introduction to econometrics; it aims to present the theory and practice of empirical research in economics. Compared to EC220, in LT this course puts more emphasis on the underlying statistical theory and uses matrix algebra extensively.

The focus of the course is on the underlying econometric theory: estimation, properties of estimators (unbiasedness, efficiency, sampling distribution, consistency) and hypothesis testing.

Topics include: Simple and multiple regression analysis; omitted variable bias; functional form; heteroskedasticity and weighted least squares; endogeneity (omitted variables and simultaneity); instrumental variables and two-stage least squares; MLE and binary choice models and Trinity of Testing; and time series analysis.

30 hours of lectures and 10 hours of classes in the LT.

Additional help lectures 10 x 1 hour in the LT.

There will be a reading week in week 6 of LT (no lectures or classes that week).

An one hour revision lecture will be held in week 11 of  the LT.

This course is delivered through a combination of classes and lectures totalling a minimum of 40 hours in Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes, live streamed (recorded) lectures, and some flipped content delivered as short online videos.

Exercises are provided each week and are discussed in the classes. While students are expected to attempt the weekly problem sets before each class, students will receive formal feedback on 3 occasions.

J. W. Wooldridge Introductory Econometrics. A Modern Approach, 6th Edition, South-Western.

J. D. Angrist and J. S. Pischke Mastering ‘Metrics. The Path from Cause to Effect, Princeton University Press. 

Further materials will be available on the  Moodle website.

Other useful texts include: W. Greene, Econometric Analysis, 7th Edition, Pearson; J. Johnston and J. Dinardo, Econometric Methods, 4th Edition, McGraw-Hill; G.S. Maddala and K. Lahiri, Introduction to Econometrics, 4th Edition, John Wiley; J.H. Stock and M.W. Watson, Introduction to Econometrics, 3rd Edition, Pearson ; C. Heij et al., Econometric methods with Applications in Business and Economics, Oxford University Press.

Exam (100%, duration: 2 hours, reading time: 15 minutes) in the summer exam period.