School of Economics and Finance

ECOM003 - Econometrics A

Credits: 15

Module Convenor: Prof Andrea Carriero

The purpose of this module is to provide students with the necessary tools for formalising a hypothesis of interest and testing it, writing a simple econometric model, estimating it and conducting inference. The module starts with a review of the classical linear model. We then analyse finite sample and asymptotic properties of ordinary least squares, instrumental variables and feasible generalised least squares, under general conditions. Classical tests, as well as general Hausman tests, and moment's tests are covered. The case of dependent stationary observations is also covered. Finally nonlinear estimation methods, and in particular the generalised method of moments, are covered.

Assessment: 80.0% Examination, 20.0% Coursework