ECON2007 Econometrics 2
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
To provide an introduction to the theory and practice of the empirical investigation of economic phenomena using multiple regressions
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
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
|Total study time||150|
Resources & Reading list
Introductory Econometrics: A Modern Approach.
Introduction to Econometrics.
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.
|Exam (2 hours)||80%|
Prerequisites: ECON2006 or MATH2011