EC484
Econometric Analysis
This information is for the 2023/24 session.
Teacher responsible
Prof Javier Hidalgo SAL 4.20
Prof Taisuke Otsu SAL 4.25
Availability
This course is compulsory on the MSc in Econometrics and Mathematical Economics. This course is available on the MRes/PhD in Economics, MRes/PhD in Economics and Management and MSc in Applicable Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit.
Pre-requisites
Students must have completed Introductory Course for MSc EME (EC451).
EC451 takes place prior to the start of Michaelmas Term, please contact econ.msc@lse.ac.uk for more information.
Course content
This course gives an advanced treatment of the theory of estimation and inference for econometric models.
Part (a) Background; asymptotic statistical theory: modes of convergence, asymptotic unbiasedness, uniform integrability, stochastic orders of magnitude, convergence in distribution, central limit theorems, applications to linear regression, extensions to time series, consistency and asymptotic distribution of implicitly defined extremum estimators.
Part (b) General asymptotic theorems, nonlinear regression, quantile regression, nonparametric methods (kernel and series methods), generalized method of moments, conditional moment restriction, many and weak instruments, limited dependent variables, treatment effect, bootstrap, and time series.
Teaching
20 hours of lectures and 10 hours of seminars in the AT. 20 hours of lectures and 9 hours of seminars in the WT. 1 hour of seminars in the ST.
There will be a reading week in Week 6 of WT only (no lectures or classes that week).
This course is delivered through a combination of classes and lectures totalling a minimum of 60 hours across Autumn Term, Winter Term and Spring Term.
Formative coursework
Two marked assignments per term.
Indicative reading
No one book covers the entire syllabus; a list of references will be provided at the start of the course, and lecture notes and relevant articles will be circulated.
Assessment
Exam (50%, duration: 2 hours, reading time: 15 minutes) in the January exam period.
Exam (50%, duration: 2 hours, reading time: 15 minutes) in the spring exam period.
Key facts
Department: Economics
Total students 2022/23: 39
Average class size 2022/23: 13
Controlled access 2022/23: Yes
Lecture capture used 2022/23: Yes (MT & LT)
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.