Postgraduate Course: Foundations of Econometrics (CMSE11388)
Course Outline
| School | Business School |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Available to all students |
| SCQF Credits | 20 |
ECTS Credits | 10 |
| Summary | Foundations of Econometrics aims to provide a thorough training in basic econometric methods, to enable students to critically assess applied work and conduct their own quantitative research using appropriate econometric techniques. Together with Applications of Econometrics, this course provides the foundations required to conduct quantitative research at the PhD level. |
| Course description |
This course provides students with a rigorous introduction to fundamental econometric methods. Through mathematical proofs, students will learn the assumptions and properties of basic estimators, including ordinary least squares, generalised least squares, and the generalised method of moments. While the primary focus will be on linear models, some nonlinear cases¿such as limited dependent variable models and the non-linear cases of generalized method of moments¿will also be covered. Examples from Finance and Economics will be used to provide context. This course serves as a foundation for more advanced estimation techniques, which will be explored in Applications of Econometrics.
Formal teaching takes place through lectures and tutorials; however, much of the learning will come from students¿ independent reading, reflection, preparation for weekly tutorials, and studying for mid-term and final examinations. Students will also gain exposure to a commonly used statistical software, Stata, through self-directed learning.
A high level of student participation is expected, both in class discussions and peer interactions outside of class. Cooperation among students in completing tutorial exercises and preparing for exams is strongly encouraged.
Students are expected to have a solid background in matrix algebra, as well as statistical and distribution theory.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
Information for Visiting Students
| Pre-requisites | Permission from the Course Organiser to attend |
| High Demand Course? |
Yes |
Course Delivery Information
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| Academic year 2025/26, Available to all students (SV1)
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Quota: None |
| Course Start |
Semester 1 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 20,
Seminar/Tutorial Hours 18,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
156 )
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| Assessment (Further Info) |
Written Exam
70 %,
Coursework
30 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
This course has 2 methods of assessment:
1. Individual Class Test (30%)
2. Individual Written Examination (70%) |
| Feedback |
Formative feedback: TBC
Summative feedback: will include specific feedback for individual groups on their coursework submissions and generic examination feedback. |
| Exam Information |
| Exam Diet |
Paper Name |
Minutes |
|
| Main Exam Diet S1 (December) | Foundations of Econometrics (CMSE11388) | 120 | |
Learning Outcomes
On completion of this course, the student will be able to:
- Demonstrate a critical understanding of basic econometric methods, their assumptions, and the consequences of the violations of these assumptions on empirical results
- Apply knowledge of basic econometrics to contemporary issues in Finance empirical research
- Critically evaluate econometric approaches currently used in Finance empirical research
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Reading List
Verbeek, M. 2012. A guide to modern econometrics. 4th ed. West Sussex: John Wiley & Sons.
Supplementary textbooks
Greene, W. H., 2012. Econometrics Analysis, 7th ed., NJ: Prentice Hall/Pearson.
Hayashi, F. 2000. Econometrics. NJ: Princeton University Press.
Stock, J. H., and Watson, M. M., 2012. Introduction to Econometrics. 3rd ed. London: Pearson Education.
Note: The structure of the course and the notation used will follow Verbeek (2012), which is the core textbook. Some proofs and presentations in lectures will be drawn from Hayashi (2000), particularly when the links between GMM and other estimators are presented. Note that basic knowledge of matrix algebra is required to understand these textbooks. Students can refresh their knowledge of matrix algebra as well as foundation statistics through reading Appendices A and B of Verbeek (2012).
Additional readings will be suggested in the course of the lectures. They will mostly be examples of how the methods presented in class are applied to empirical research in Finance. |
Additional Information
| Graduate Attributes and Skills |
Research and enquiry
Personal and intellectual autonomy
Personal effectiveness
Communication |
| Keywords | Not entered |
Contacts
| Course organiser | Dr Huacheng Zhang
Tel:
Email: hzhang6@ed.ac.uk |
Course secretary | Ms Erin Robbins
Tel:
Email: Erin.Robbins@ed.ac.uk |
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