EC987: Quantitative Methods: Econometrics B (for MSc Behavioural and Economic Science - Economics Track)
Juliana Cunha Carneiro Pinto
Module Leader
Introduction
The module provides students with a thorough understanding of material needed for empirical quantitative analysis, particularly applied econometrics. You will understand how to produce high quality empirical econometric analysis using cross-sectional and panel data, and also learn to interpret critically empirical results.
Principal Aims
The aim of the module is to give students a good grounding in maths, statistics and modern econometric techniques. Within the econometrics element, students will study the ways in which the techniques are applied in the empirical analysis of economic data. This module will supplement the development of these key and fundamental professional skills, by looking at more advanced topics. The module covers the analysis of cross-section and limited dependent variable data (but does not cover the analysis of time-series data).
Principal Learning Outcomes
Subject-specific skills/Professional Skills:...produce empirical econometric analysis.
Cognitive skills:...interpret critically empirical results, including the vast array of diagnostic and test statistics often reported, and to come to a balanced view concerning the weight of the empirical evidence presented.
Subject knowledge and understanding:...demonstrate an understanding of fundamental concepts in mathematics and statistics relevant to the other core modules and be able to apply these concepts to economics.
Subject knowledge and understanding:...demonstrate knowledge and understanding of material needed for empirical quantitative analysis.
Subject knowledge and understanding:...understand the theory and practice of modern econometrics at a level appropriate for postgraduates emphasising applied econometrics.
Syllabus
The syllabus for this module will be based on the following topics; however this list is not limited to those listed below and does not infer all of these topics will be studied in the module:
Introductory Mathematics and Statistics: pre-sessional topics covered will include linear algebra, multivariate calculus and constrained optimisation, differential and difference equations, basic probability theory and hypothesis testing.
The module will emphasise microeconometric applications, and will cover: properties of estimators and how to generate different estimators (Maximum Likelihood Estimation, least squares, method of moments); discrete choice models (binary, unordered multinomial); censored and truncated dependent variable models (Tobit, endogenous selection - Heckman, switching regression models); Linear panel data models; Treatment evaluation methods.
Context
- Optional Core Module
- C8P8 - Year 1
- Pre or Co-requisites
- An undergraduate module in introductory econometrics and basic knowledge of matrix algebra.
Assessment
- Assessment Method
- Coursework (40%) + Centrally-timetabled examination (On-campus) (60%)
- Coursework Details
- Centrally-timetabled examination (On-campus) (60%) , Test 1 (locally held) (8%) , Test 2 (locally held) (12%) , Test 3 (20%)
- Exam Timing
- Summer