The University of Southampton
Courses

# ECON2007 Econometrics 2

## Module Overview

The main topics of the module will be matrix algebra review, simple linear regression (review, multiple linear regression (OLS, partitioned regressions, heteroscedasticity and GLS), hypothesis testing (tests of simple hypothesis, simple and multiple restrictions), model misspecification issues (omitted variables, inclusion of irrelevant variables), a brief introduction to Asymptotic Theory, endogeneity - instrument variables, introduction to time series models.

### Aims and Objectives

#### Module Aims

To provide an introduction to the theory and practice of the empirical investigation of economic phenomena using multiple regressions

#### Learning Outcomes

##### Learning Outcomes

Having successfully completed this module you will be able to:

• Know the assumptions and basic theory of classical linear regression.
• Deal with violations of standard assumptions of classical linear regression.
• Set up statistical tests.
• Perform basic regression programming in an econometric package and be able to evaluate regression estimates

### Syllabus

The module explains the underlying statistical concepts, and establishes some of the formal results to understand the theoretical basis for regression. By using the STATA (or equivalent) econometric package, and interpreting its results, you will learn to demonstrate knowledge of the appropriate econometric methods

### Learning and Teaching

TypeHours
Teaching28
Independent Study122
Total study time150

#### Resources & Reading list

Introduction to Econometrics.

Introductory Econometrics: A Modern Approach.

Econometric Analysis.

### Assessment

#### Assessment Strategy

80% examination (2 hour), 20% coursework (2 pieces at 10% each). The coursework both forms your ideas, and assesses your ability to apply econometric methods. The examination measures your grasp of the theory, and of the detailed rationale for the econometric methods.

#### Summative

MethodPercentage contribution
Coursework 20%
Exam  (2 hours) 80%

#### Referral

MethodPercentage contribution
Exam 100%