EC966-7-AU-CO:
Estimation and Inference in Econometrics

The details
2019/20
Economics
Colchester Campus
Autumn
Postgraduate: Level 7
Current
Thursday 03 October 2019
Saturday 14 December 2019
20
09 July 2019

 

Requisites for this module
(none)
(none)
(none)
(none)

 

(none)

Key module for

DIPLL10009 Economics,
MA L10012 Economics,
MA L10024 Economics,
MRESL10012 Economics,
MRESL100EK Economics,
MRESL100KE Economics,
MSC L10012 Economics,
MSC L10024 Economics,
MSC L100EK Economics,
MSC L100KE Economics,
MSC L100PP Economics with Professional Placement,
MSC L100UH Economics,
MSC L10112 Economics and Econometrics,
MSC L10124 Economics and Econometrics,
MSC L101EK Economics and Econometrics,
MSC L101KE Economics and Econometrics,
MSC L101UH Economics and Econometrics,
MSC L11412 Financial Econometrics,
MSC L10212 Financial Economics and Econometrics

Module description

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 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.

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.

Module aims

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.

Module learning outcomes

Upon successful completion of this module students will possess a thorough understanding of the principles of estimation and inference in econometrics. In addition, students should be able to justify, or criticise where appropriate, the use of particular econometric methods of estimation and inference in a variety of situations. In completing the problem-sets, students will demonstrate their problem-solving, analytical, and deductive skills. Employability skills include: Academic skills: Literacy, numeracy, problem-solving and ICT skills; Professional working skills: adaptability, flexibility, decision-making; External awareness: economic and business environment and policy; Personal development planning: Time management, self management, reflection and evaluation.

Module information

Compulsory for:
MSc in Economics and Econometrics, MSc in Financial Economics and Econometrics and MSc in Applied Economics and Data Analysis (unless EC501 is taken)

Learning and teaching methods

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

Bibliography*

  • Hayashi, Fumio. (c2000) Econometrics, Princeton, N.J.: Princeton University Press.

The above list is indicative of the essential reading for the course. The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students. Further reading can be obtained from this module's reading list.
Module supervisor and teaching staff
Dr Neslihan Sakarya
For further information, send a message to kempgcr@essex.ac.uk

 

Availability
Yes
No
No

External examiner

Dr Roberto Bonilla Trejos
The University of Newcastle-upon-Tyne
Resources
Available via Moodle
Of 35 hours, 33 (94.3%) hours available to students:
2 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).

 

Further information
Economics

* Please note: due to differing publication schedules, items marked with an asterisk (*) base their information upon the previous academic year.

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