ECONGP20 - Econometrics for Policy

Aims:

This course introduces the main techniques that are used for empirical analysis in fields ranging from microeconomics to macroeconomics and finance. The main goal of the course is to teach the students how to become both producers and critical consumers of empirical research. This is achieved by focusing on the practical implementation of the techniques – rather than the theory behind them – as well as highlighting their limitations.
After completing this course, students will NOT be able to progress to the Advanced Microeconometrics and Economics and Econometrics of Programme Evaluation options, but they will have access to all other List B option courses.

Differences from the core Econometrics course for the MSc Economics are:

  • Focus on practical implementation rather than econometric theory
  • No theorems/proofs or mathematical derivations presented 
  • Broader set of methods covered 
  • Greater focus on practical examples and implementation in STATA


Course outline:

1. Methods for cross-sectional and panel data (from Mostly harmless econometrics) (20 hours)

This section introduces the following topics, with an emphasis on examples and practical implementation: the linear regression model; heterogeneity and nonlinearity; treatment effects; limited dependent variable models; instrumental variables estimation; panel data.

2. Methods for time series data (from Applied Econometric Time Series) (10 hours)

This section introduces basic techniques for analyzing time seris data, including models for stationary time series (ARMA models); models with trends; vector autoregressions; cointegration and error correction

Taught by:
Toru Kitagawa
Assessment: Three hours of lectures per week, and one weekly problem class, throughout Term 1. Three-hour closed-book examination in Term 3. Assessment is based solely on the final examination, but a serious attempt at the problems is essential to a good understanding of the material.
Suitable for:
Graduate students
Prerequisites:  
Moodle: ECONGP20