Jérôme Adda

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G023 Econometric Theory and Methods

Objectives:

On completing this course students should have

• an appreciation of the purpose of econometric analysis,
• an appreciation of the scope of econometric methods,
• an understanding of the properties and uses of a variety of econometric procedures, and,
• the ability to derive the properties of some procedures in relatively simple settings.

Students completing the course should have sufficient awareness of basic econometric techniques to be able to understand the presentation of basic econometric results in academic articles and professional reports and to critically appraise their usefulness and appropriateness.

Outline syllabus:

• Econometric modelling and identification.
• Random variables, joint, marginal and conditional distributions, regression functions.
• Linear regression models – interpretation, estimation and inference.
• Approximate "large sample" inference.
• Nonlinear models, maximum likelihood methods.
• Methods for discrete data.
• Identification, endogeneity and instrumental variables methods.
• Time series methods.

Basic probability and statistics:

Students who want to revise basic probability and statistics may find one of the following books helpful.

· Mathematical Statistics and Data Analysis, John Rice, Duxbury Press.

· Probability and Statistics: the Science of Uncertainty, Michael Evans and Jeffry Rosenthal, Freeman and Co.

· Probability and Statistical Inference, Robert Hogg and Elliot Tanis, Prentice Hall.

On-line course material weeks 1 - 7: (taught by Jérôme Adda)

Course outline

Guides to the textbooks:-

Wooldridge “Econometric Analysis of Cross Section and Panel Data”

Greene “Econometric Analysis” 5^th Edition

Lecture notes:- as issued at the start of the course. Slides

1. Econometric models, random variables, probability distributions and regression
2. Estimation and inference in regression models
3. Notes on approximate inference
4. Notes on maximum likelihood methods
5. Notes on likelihood based hypothesis testing and specification tests
6. Notes on identification, endogeneity and instrumental variables 

Exercises:- to be added as the course progresses.

1. Exercise 1.
2. Exercise 2.
3. Exercise 3.
4. Exercise 4.
5. Exercise 5.

Answers to exercises:-

1. Exercise 1.

2. Exercise 2 and STATA commands and output for Question 3 of Exercise 2.

3. Exercise 3 and STATA commands and output for Questions 1 and 2 of Exercise 3.

4. Exercise 4.

5. Exercise 5.

Answers will be posted as the term proceeds.

Data:-

1. Exercises 3 and 5: individual household food expenditure and nutrient data, STATA version
2. Exercise 5: monthly aggregate household food expenditure and quantity data, STATA version

How to run Stata from a cluster room: instructions and introduction to STATA.

On-line course material weeks 8 - 10: (taught by Raffaella Giacomini)

Problem set 1

Other materials

Past exam papers:-

Exam paper set in 2002/2003.

Exam paper set in 2003/2004.

Exam paper set in 2004/2005. Sketch answers to questions 1-6

Exam paper set in 2005/2006. Sketch answers to questions 1-6.

Two sample questions for the dynamic models and time series part of the 2006/2007 examination.

and:-

The IFS and UCL Centre for Microdata Methods and Practice, cemmap, publishes one of the world’s leading working paper series in microeconometrics. Its Research Fellows, frequent visitors to the Centre, are leaders in the development of microeconometric methods. There are useful resources associated with cemmap Masterclasses .

Last updated: 20/09/2007