Advanced Econometric Theory (20cr)
| Code | School | Level | Credits | Semesters |
| ECON3092 | Economics | 3 | 20 | Spring UK |
- Code
- ECON3092
- School
- Economics
- Level
- 3
- Credits
- 20
- Semesters
- Spring UK
Summary
This module generalizes and builds upon the material covered in the Year 2 modules, Econometric Theory I and II. In the first part of the module, we study large sample, or asymptotic, theory. This is needed in order to obtain tractable results about the behaviour of estimators and tests when the standard modelling assumptions - which frequently cannot be verified in practice - are relaxed. The second part of the module continues the time series analysis taken in Econometric Theory II, with the emphasis on the behaviour of typical economic time series, and the implications of that behaviour in practical analysis, such as the construction of models linking economic time series. The key issues addressed will be the identification of non-stationarity through the construction of formal tests and the implications for modelling with non-stationary data.
Target Students
Available for final year Undergraduate students on Economics degree programmes, including final year students on the BA Jt Hons Politics and Economics and BSc Jt Hons Maths and Economics degrees who have studied ECON2002 and ECON2004 or ECON2049 and ECON2050. Not available to Exchange students.
Co-requisites
Modules you must take in the same academic year, or have taken in a previous year, to enrol in this module:
- Econometric Theory I (ECON2002)
- Econometric Theory II (ECON2004)
- Econometric Theory I (10cr) (ECON2049)
- Econometric Theory II (10cr) (ECON2050)
Classes
This module is delivered through a combination of lectures and tutorials.
Assessment
- 100% Exam 1 (2-hour): Exam
Assessed by end of spring semester
Educational Aims
To provide the necessary statistical techniques needed to conduct asymptotic econometric theory.To develop the analytical skills required to demonstrate theoretical asymptotic properties of different econometric estimation and testing procedures under weakened modelling assumptions.To introduce the concept of unit autoregressive roots, and the consequences of that concept for the analysis of economic time series.Learning Outcomes
On completing this module, the emphasised learning outcomes are such that students will be able to:
Knowledge and Understanding:
A5: Show understanding of relevant mathematical and statistical techniques.
Intellectual Skills:
B1: Work with abstract concepts and in a context of generality.
B3: Be able to evaluate, analyse and present quantitative data.
Professional / Practical Skills:
C2: Understand the sources and content of economic data and evidence, as well as appropriate methods of analysis.
Transferable Skills:
D1: Apply mathematical, statistical and graphical techniques in an appropriate manner.