Postgraduate Course: Econometrics 1 (ECNM11043)
|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||Together with Econometrics 2, this module provides a thorough training in basic econometric methods to enable you to critically assess applied work as well as to undertake your own using appropriate econometric techniques. You will acquire the background required for research at the PhD level or in employment as a professional applied economist.
Entry Requirements (not applicable to Visiting Students)
|| Students MUST have passed:
Mathematics, Statistics and Econometrics (ECNM11002)
||Other requirements|| Must be registered for MSc Economics (PTMSCECNSG1F/P) & MSc Economics (Finance)(PTMSCECNF12F/3P) or by special permission of the Programme Director. Email firstname.lastname@example.org to enquire.
Information for Visiting Students
|Pre-requisites||By special permission of the Programme Director only. Email email@example.com to enquire.
|High Demand Course?
Course Delivery Information
|Academic year 2022/23, Available to all students (SV1)
|Learning and Teaching activities (Further Info)
Lecture Hours 36,
Seminar/Tutorial Hours 15,
Supervised Practical/Workshop/Studio Hours 18,
Feedback/Feedforward Hours 14,
Formative Assessment Hours 3,
Summative Assessment Hours 3,
Revision Session Hours 5,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||There will be two exams: one in the December Diet (25%) and one in the April/May Diet (75%).
||Hours & Minutes
|Main Exam Diet S2 (April/May)||3:00|
|Main Exam Diet S1 (December)||3:00|
| You will be able to critically assess applied work as well as to undertake your own using appropriate econometric techniques. You will acquire the background required for research at the PhD level or in employment as a professional applied economist.
|Hayashi, Econometrics, Princeton University Press.|
Verbeek, A Guide to Modern Econometrics, 4th ed., John Wiley & Sons
|Graduate Attributes and Skills
|Additional Class Delivery Information
||This module consists of approximately 38 hours of lectures which are supported by approximately weekly lab/tutorial sessions (2 hours per week) and a help-desk.
Part A (Robin Alpine) 3 weeks ¿ An introduction to classical econometrics
In this part we will cover the fundamentals of the general linear model: OLS; Gauss-Markov Theorem; inference; dummy variables; and other techniques.
Part B (Mark Schaffer) 6 weeks ¿ Core econometrics
The motivating framework for much of the second part of the course is GMM (the Generalized Method of Moments). Topics covered will include: OLS, IV and other GMM estimators; large sample theory; GLS; maximum likelihood (ML); robust covariance estimation; system estimation; basic panel data.
|Course organiser||Prof Mark Schaffer
|Course secretary||Ms Grace Oliver