The University of Southampton
Courses

ECON6024 Econometrics 1

Module Overview

To provide you with a knowledge and understanding of the statistical foundations of econometric theory. In addition to the “classical” likelihood theory, emphasis will be placed on recent developments in the statistical theory of asymptotic approximations, empirical likelihood, and problems of identification. Some of the material may familiar to students with strong backgrounds in statistical theory, but the module seeks to develop a deeper understanding of the material.

Aims and Objectives

Module Aims

The aim of the module is to provide you a knowledge and understanding of the statistical foundation s of modern econometric theory. At the end of the module you should be able to appreciate econometric work (both theory and applied) that is currently appearing in the top Economics and Econometrics Journals (Econometrics, JPE, AER, Journal of Econometrics, Econometric Theory, etc). You will also hopefully, have ideas about areas of econometrics that still pose unanswered questions, and be keen to answer them!

Learning Outcomes

Learning Outcomes

Having successfully completed this module you will be able to:

  • Assimilate frontier econometric research, as published in leading journals
  • Identify new and interesting topics for future research
  • Tackle such advanced problems for yourself

Syllabus

The main topics to be covered are: • Multiple Regression; Testing; Diagnostics (Mainly Revision) • Statistical Models, Likelihood, Sufficiency • Exponential Family • Asymptotic Theory, Saddlepoint Approximations • Theory of Hypothesis Testing, Neyman-Pearson Lemma • Empirical Likelihood • Multivariate Linear Models (SUR, SEM) • Identification

Special Features

High-Level econometric Theory based firmly in Statistical Theory

Learning and Teaching

TypeHours
Teaching40
Independent Study160
Total study time200

Resources & Reading list

Inference and Asymptotics. 

Asymptotic Techniques for use in Statistics. 

Other course information available via blackboard. 

Statistical Foundations for Econometric Techniques. 

Elements of Modern Asymptotic theory with Statistical Applications. 

Theoretical Statistics. 

Assessment

Assessment Strategy

Assessment is by three hour written examination at the end of Semester 1. Summative Referral: 100% Examination

Summative

MethodPercentage contribution
Exam  (3 hours) 100%

Referral

MethodPercentage contribution
Exam 100%

Repeat Information

Repeat type: Internal & External

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