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Advanced Econometrics

Module Code: ECU44171/ECU44173

Module Name: Advanced Econometrics

  • ECTS weighting: 10/5
  • Semester/term taught: Semester 1
  • Contact Hours: 22 hours of lectures and 6 hours of tutorials
  • Module Personnel: Lecturer –Martyna Marczak

Module Learning Aims

The module aim is to provide students with a theoretical understanding of macro-econometrics and guide them in how to use this toolbox for conducting applied macroeconomics research.

Learning Outcomes

Upon successful completion, students will be able to:

  • Understand properties of different econometric models;
  • Decide which approach is appropriate for a particular type of data and research question;
  • Estimate econometric models using STATA;

Module Content

The module will cover the following topics:
  • Frisch Lovell Theorem
  • Properties if OLS
  • Non-spherical disturbances
  • Instrumental variables
  • Univariate time-series
  • Stationary VAR
  • Cointegration (single equation and VAR)

Recommended Reading List

Throughout the term we will follow several textbooks:

  • Davidson, Russell and James MacKinnon (2003), Econometric Theory and Methods, Oxford University Press.

Module Pre Requisite

JS Econometrics A/B

Assessment Details

For students on 10 ECTS:

  • Project: 40% of the overall grade.
  • Exam: 60% of the overall grade.

For students on 5 ECTS:

  • Exam: 100% of the overall grade.

Module Website

Blackboard

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