Unit information: Advanced Econometric Theory (QM6) in 2020/21

Unit name	Advanced Econometric Theory (QM6)
Unit code	ECON30392
Credit points	20
Level of study	H/6
Teaching block(s)	Teaching Block 2 (weeks 13 - 24)
Unit director	Dr. Sokullu
Open unit status	Not open
Pre-requisites	EFIM30050 Foundations of Econometric Theory
Co-requisites	None
School/department	School of Economics
Faculty	Faculty of Social Sciences and Law

Description including Unit Aims

Specialised topics in econometrics theory will be discussed. The first part will examine hypothesis testing. The second part will focus on large sample properties of the OLS and Maximum Likelihood estimators. The third part is concerned with general testing procedures based on the principle of maximum likelihood. The fourth part consists of instrumental variables estimation. Part five deals with time series econometrics.

Intended Learning Outcomes

At the end of the course, students should be able to:

1. Demonstrate a good knowledge of some specialised topics in econometric theory.
2. Develop a theoretical argument in econometrics using propositions and theorems
3. Rigorously prove the properties of some estimators.

Teaching Information

Teaching will be delivered through a combination of synchronous and asynchronous sessions such as online teaching for large and small group, face-to-face small group classes (where possible) and interactive learning activities

Assessment Information

Online exam - 100%

Reading and References

• Greene W.H. (2012), Econometric Analysis, (7th Edition), Prentice Hall, Chapter 17
• Spanos, A. (1986), Statistical Foundations of Econometrics Modelling, CUP, Chapter 14
• Wooldridge J.M. (2010), Econometric Analysis of Cross Section and Panel Data, 2nd Edition, MIT, Chapter 13
• Greene, W.H. (2012), Econometric Analysis, 7th Edition, Prentice Hall, Chapters 8, 13, 14, 20, 21
• Ruud, P.A. (2000), An Introduction to Classical Econometric Theory, Oxford, Chapters 19, 20, 21, 25