Module Code: ECU33092
Module Title: Econometrics B
- ECTS Weighting: 5
- Semester/Term Taught: Semester 2
- Contact Hours: 22 hours of lectures and 10 hours of computer workshops
- Module Personnel: Lecturer - Professor Gaia Narciso
Module Learning Aims
This module provides an introduction to the theory and methods of modern econometrics. It begins by reviewing and extending the econometric material covered in Michaelmas term. Following this students are guided through the fundamental principles of econometrics and working through to more advanced topics as the module progresses. The module provides a balance between core theoretical material and an extensive applied component which aims to develop student's practical skills necessary to conduct independent applied research.
Topics discussed include:
- Misspecification of the Disturbance Terms: Heteroscedasticity and Serial Correlation
- Qualitative Choice Models: binary dependent variables – the linear probability and probit models
- Introduction to Time-Series Analysis: Stationarity/non-stationarity; unit roots and cointegration; MA, AR and ARMA models
- Instrumental Variables Estimation: Omitted variables and endogeneity; two stage least squares estimation; testing for endogeneity and overidentifying restrictions
- Simultaneous Equation Models: Simultaneity bias in OLS; Structural and reduced forms; the identification problem; estimation.
- Introduction to Panel Data Analysis: Pooling cross sections over time; Fixed and Random effects estimation
On successful completion of this module, you will be able to:
- Confidently discuss the problem of identification;
- Construct, estimate and test econometric models with limited variables;
- Estimate and test models using instrumental variables and two stage least squares;
- Identify and estimate two and three equation simultaneous equation models;
- Perform basic time series analysis;
- Perform basic econometric analysis for panel data;
- Use the techniques developed to test simple economic models;
- Use STATA to estimate econometric models;
- Present a research topic and research plan to their peers and write an empirical paper on an applied research topic.
Recommended Reading List
- J.M. Wooldridge, Introductory Econometrics: A Modern Approach, 7/e, Cengage, 2019
- Angrist, J.D. and Pischke, J. Mastering Metrics, Princeton University Press, 2015
Module Pre Requisite
ECU33091 Econometrics A
ECU22031 & ECU22032 Mathematical and Statistical Methods
- 3 Homework Assignments accounting for 15% of the overall grade.
- Each student will present on the topic of their project in week 3 of Hilary Term which is worth 5% of the overall grade.
- A project is due in Week 12 of Hilary Term which is worth 20% of the overall grade.
- The annual exam is worth 60% of the overall grade.