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 –Vahagn Galstyan
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