Econometric Theory

Module code: EC7087

"Econometrics is by no means the same as economic statistics. Nor is it identical with what we call general economic theory ... Nor should econometrics be taken as synonymous with the application of mathematics to economics. Experience has shown that each of these viewpoints, that of statistics, economic theory, and mathematics, is a necessary, but not by itself a sufficient, condition for a real understanding of the quantitative relations in modern economic life. It is the unification of all three that is powerful. And it is this unification that constitutes econometrics." - Ragnar Frisch, Editor's Note, first issue of Econometrica, 1933

In this foundational module, you will study the basic tools of econometrics. We will cover probability and distribution theory, statistical hypothesis testing, estimation and inference in linear regression models, endogeneity, and instrumental variables.

Topics covered

Matrix algebra
Probability and distribution theory
Estimation and inference
Large sample distribution theory
Linear regression
Ordinary least squares
Finite sample inference
Large sample inference
Heteroskedasticity
Endogeneity
Instrumental variables
Generalised method of moments
Maximum likelihood