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Unit information: Foundations of Econometric Theory (QM5) in 2015/16

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Unit name Foundations of Econometric Theory (QM5)
Unit code ECON21356
Credit points 20
Level of study I/5
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Lale
Open unit status Not open

At least 60% in Quantitative Methods 2 (ECON12122)


QM3 (ECON20020)

School/department School of Economics
Faculty Faculty of Social Sciences and Law

Description including Unit Aims

The course is taught in two parts. The Autumn term covers Statistical theory essential for Econometric theory. It focuses on key properties of sample statistics and on hypothesis testing. It also provides students with new notions to add to their mathematical toolkit, such as moment-generating functions. The Spring term is solely concerned with detailed examination of least squares (ordinary, restricted and generalized). It also deals with maximum-likelihood estimation of the general linear model and instrumental-variable estimation.

Intended Learning Outcomes

  • A good knowledge of fundamental econometric theory,
  • To handle theoretical propositions,
  • Rigorously prove the properties of the estimators.

Teaching Information

Eighteen one hour lecture and eighteen one hour tutorial.

Assessment Information

Formative assessment: Weekly problem sets. Two of the problem sets will be marked.

Summative assessment: 100% by a three hour closed book examination, divided into Section A (statistical theory section) and Section B (econometrics theory section).

Section A consists of two questions and Section B of four. It is required to answer one question from Section A and three questions from Section B.

Reading and References

Hogg, R.V., J. McKean and A.T. Craig. Introduction to Mathematical Statistics. Pearson Prentice Hall, 6th Edition, 2005. Greene, W.H. Econometric Analysis. Pearson Education, 7th Edition, 2012. Stock, J.H. and M.W. Watson. Introduction to Econometrics. Pearson Education, 3rd Edition, 2012.

  • Johnston and Dinardo Econometric Methods, McGraw Hill, 1997, (Fourth Edition)