Postgraduate Course: Advanced Microeconometrics (ECNM11048)
|School||School of Economics
||College||College of Arts, Humanities and Social Sciences
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Available to all students
|Summary||This module explores further topics in applied econometrics. Students will be introduced to various tools that are part of the basic econometric training of professional economists. The course is intended for students who want to be professional economists or who want to go on to PhD study, i.e. at aspiring economists rather than aspiring econometricians. The first part of the syllabus is devoted to the Generalised Method of Moments or GMM. GMM was introduced by Hansen (1982) and is now a key tool in the applied economist's toolbox. GMM has a number of other attractive features: it accommodates problems and data structures that show up frequently in econometrics, such as endogeneity and causal effects, heteroskedasticity, autocorrelation, and time series and panel data; it often provides a way of linking priors from economic theory to specific estimation strategies; and it is flexible and extendable, i.e. various apparently complex estimation problems can be written down as simple GMM estimators. Other topics covered in this part of the course include specification testing in the GMM framework and the 'weak identification' problem and weak-identification-robust estimation.
The second part of the syllabus is devoted to selected advanced topics in econometrics. These topics vary from year to year. Past topics have included dynamic panel data models; estimators for heterogeneous treatment effects; differences-in-differences estimators; regression discontinuity design; and exact and propensity-score matching estimators.
Information for Visiting Students
|Pre-requisites||Students should be registered for MSc Economics OR MSc Economics (Finance). All other students must email email@example.com in advance to request permission.
|High Demand Course?
Course Delivery Information
|Not being delivered|
| This module explores further topics in applied econometrics. Students will be introduced to various tools that are part of the basic econometric training of professional economists. The course is intended for students who want to be professional economists or who want to go on to PhD study, i.e. at aspiring economists rather than aspiring econometricians.
|Bruce Hansen, Econometrics (2010). Available at no cost for educational or personal use at http://www.ssc.wisc.edu/~bhansen/econometrics/.|
Fumio Hayashi, Econometrics (Princeton University Press 2000).
Angrist, Joshua D. and Jörn-Steffen Pischke, Mostly Harmless Econometrics: An Empiricist's Companion (Princeton University Press, 2009).
Wooldridge, Econometric Analysis of Cross Section and Panel Data
|Graduate Attributes and Skills
|Course organiser||Dr Tatiana Kornienko
Tel: 0131 650 8338
|Course secretary||Miss Sophie Bryan
Tel: (0131 6)50 9905