Econometric Theory

Module code: EC7087

Module co-ordinator: Dr Arek Szydlowski

"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

Learning

  • 20 one-hour lectures
  • 6 one-hour tutorials

Assessment

  • Exam, 3 hours (100%)