Module Directory

This module is a first year graduate level econometrics module. It aims to provide students necessary technical fundamentals in econometrics that would be important for their research in the future. The students will learn about OLS, WLS, GLS, GMM, and MLE estimation techniques and the rigorous properties of those estimators by using linear algebra.

This module begins with a brief review of the mathematical and statistical prerequisites needed for econometrics illustrated using ordinary least squares methods in the classical linear regression model. It then proceeds to cover the use of asymptotic methods in econometrics, classical hypothesis tests, generalized least squares, instrumental variables and the generalized method of moments, and maximum likelihood.

The aims of this module are:

• To provide students with the necessary technical fundamentals in econometrics that would be important for their research in the future.


• To learn about Ordinary Least Squares (OLS), Weighted Least Squares (WLS), Generalized Least Squares (GLS), Generalized Method of Moments (GMM), and Maximum Likelihood Estimation (MLE) estimation techniques and the rigorous properties of those estimators by using linear algebra.

By the end of this module, students will be expected to be able to:

1. Possess a thorough understanding of the principles of estimation and inference in econometrics.


2. Justify, or criticise where appropriate, the use of particular econometric methods of estimation and inference in a variety of situations.


3. In completing the problem-sets, demonstrate their problem-solving, analytical, and deductive skills.

Transferable Skills

Employability skills include:

1. Academic skills: Literacy, numeracy, problem-solving and ICT skills.


2. Professional working skills: adaptability, flexibility, decision-making.


3. External awareness: economic and business environment and policy.


4. Personal development planning: Time management, self management, reflection and evaluation.

This module is a first year graduate level econometrics module.

The module will be delivered via:

• One 2 hour lecture per week, weeks 2-11.
• One 1 hour class per week, weeks 3-11.

Feedback for this module will occur through class meetings where we will go over the answers to problem sets and where you will be able to ask questions about your own method of solution; answers that will be posted on the website for the module that will give you written guidance on the appropriate method to approach the problems, assignments, and tests; and office hours where any additional questions can be addressed. You should be sure that you use these methods to understand how to improve your own performance.