Econometrics - ECO00091M
Module summary
A graduate level introduction to the key statistical techniques required to examine economic models with data, enabling students to follow large parts of the empirical literature and to carry out such analyses themselves.
Related modules
prohibited combinations: Statistics and Econometrics or Econometric Methods for Research
Will provide background for Financial and Time Series Econometrics and Applied Microeconometrics
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Semester 1 2025-26 |
Module aims
To equip students with intermediate level knowledge of the core techniques employed in modern econometric analysis so that they are able:
to follow the techniques and arguments used in a range of empirical papers in Economics and Finance; and,
to undertake a successful empirical dissertation.
Module learning outcomes
On completing the module a student should be able:
To recognise and interpret various mathematical objects that arise in the theory of least squares estimation and testing.
To extend these skills to the estimation and testing of models under conditions that commonly arise in economic data, including:
disturbances that are heteroskedastic and/or serially correlated
dependent variables that are qualitative (can only take one of a finite number of values) or limited to the range of values they can take
regressors that are endogeneous, through instrumental variable estimation
models for data which also has a time dimension.
To present and derive key statistical results discussed during the module at an appropriate mathematical level
To interpret correctly the results of empirical statistical analysis as performed using contemporary econometric software.
To communicate, and to make recommendations based on, those results in written format.
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 70 |
| Essay/coursework | 30 |
Special assessment rules
None
Additional assessment information
Formative assessment will consist of:
-
multiple choice VLE topic tests (in non-seminar weeks)
-
use of polling software during practicals
-
one submitted “exam question” style exercise.
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 70 |
| Essay/coursework | 30 |
Module feedback
Individual feedback will be given on assessments as marks are released, in line with DERS policy.
Indicative reading
-
Greene. Econometric Analysis.
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Heij, DeBoer, Franses, Kloek and van Dijk. Econometric Methods with Applications in Business and Economics.
-
Verbeek. A Guide to Modern Econometrics