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Module description

This module provides an introduction to theoretical and applied econometrics. The course emphasises actually doing applied econometrics. This involves combining economic theory, statistical methods and an understanding of the data with the ability to use the appropriate software and interpret the output.

Econometrics I focuses on time-series methods; Econometrics II focuses on micro-econometrics. Further time series techniques are covered in the Forecasting option and further micro-econometrics in the Advanced Econometrics option. 

Learning objectives

At the end of the course, you will be able to demonstrate that you can:

  • derive standard estimators (OLS, ML, GMM) and understand their properties
  • explain the basis for standard exact and asymptotic tests and use them in practice
  • develop and analyse basic univariate and multivariate time-series models for integrated and cointegrated data and know how to choose between alternative models
  • use standard econometrics packages and interpret their output
  • read, understand and explain empirical articles in the literature of the sort that appear in Economic Journal or American Economic Review
  • conduct and report on an independent piece of empirical research that uses advanced econometric techniques.