| Unit name | Foundations of Econometric Theory (QM5) |
|---|---|
| Unit code | ECON21356 |
| Credit points | 20 |
| Level of study | I/5 |
| Teaching block(s) |
Teaching Block 4 (weeks 1-24) |
| Unit director | Dr. Lale |
| Open unit status | Not open |
| Pre-requisites |
At least 60% in Quantitative Methods 2 (ECON12122) |
| Co-requisites |
QM3 (ECON20020) |
| School/department | School of Economics |
| Faculty | Faculty of Social Sciences and Law |
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.
Eighteen one hour lecture and eighteen one hour tutorial.
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.
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.
