📚 Theory and Practice of Econometrics I (IIA Paper 3)
Table of Contents
The aims of this paper are to introduce students to a number of econometric techniques which are used by economists to analyze economic behavior, and to give them experience in applying these techniques to practical problems.
What you will learn
- Concepts of estimator, test statistic and sampling distributions
- Use of multiple regression to learn about economic behaviour
- Use and interpretation of simple diagnostic tests in multiple regression
- Endogeneity, instrumental variables and simultaneous equations
- Binary choice models and panel data
- Stochastic processes and stationarity
- Univariate time series analysis and nonstationarity tests
The lecturer distributes eight problem sets corresponding to the material covered in the lectures. You submit solutions to these problem sets, to which your supervisor provides feedback. Typically, each supervision will be for one hour with at most four students. You will engage with the material actively in the supervision. Before the project and exam, there will be a further, targeted supervision.
STATA classes are available to all students in Lent term. While STATA is easiest to use in this paper due to the available specialised teaching for it, other students have used the free software R or Python in the past. R and Python are harder to learn, but are more powerful and up-to-date than STATA. If I were to redo the course, I would choose to learn R with the free online Econometrics with R book.
- Wooldridge, Jeffrey, M: Introductory Econometrics: A Modern Approach, South-Western.
- Stock, J H and Watson, M W: Introduction to Econometrics, Harlow-Pearson
- Written paper (usually two hours)
- Project (usually ten days)
Are there prerequisites?
Yes. This paper is an introduction to econometrics and builds on fundamental statistical concepts previously covered in Part I (first year) Paper 3.
How many lectures and supervisions are there?
16 lectures are held each in week 1-8 of Michaelmas and Lent term. There are a total seven content supervision per academic year, which are held approximately biweekly in Michaelmas and Lent term. Additional supervisions are held just before the start of the project and before the exam as preparation.