Intermediate Econometrics

label Diverse autorenew 2025-09-29, 17:01 history_edu Maria Dumitru
The typical introductory econometrics course is mostly confined to the Classical Linear Regression Model. It may also cover a few advanced topics, but with eclectic choice and superficial treatment. This course aims to build a solid, comprehensive understanding of the use of the regression model when one progresses from the CLRM, with its strong and unrealistic assumptions, and addresses the issues that researchers encounter in practice.The course assumes that participants will already have a sound understanding of the CLRM. After a brief review of the latter, it will cover the following topics: •stochastic regressors•measurement error•instrumental variables•simultaneous equations estimationNext, it will cover binary choice models:•linear probability model and its shortcomings•logit model•probit model•tobit model•sample selection biasThe course will then treat issues related to regressions with time series data:•regressions with lagged variables•autoregressive distributed lag - ADL(p,q) - models•detailed treatment of issues relating to the ADL(1,0) model•consequences of the violation of the assumption of noncontemporaneous independence of regressors and disturbance term•autocorrelation: consequences, tests, and remedies•properties of nonstationary time series•tests for nonstationarity•cointegration•error correction modelsThe course will conclude with a brief treatment of panel data regressions.The course will not use linear (matrix) algebra. This course will consist of three hours of lectures each morning and a small-group class lasting one hour and a half each afternoon. A written problem set will be due for each class.

Period
18-08-2014 - 29-08-2014 (2 weeks)

Target group
This course is designed for those who have already taken an introductory course covering the CLRM and need to develop their skills to the next level. The course is not suitable for those whose only exposure to econometrics has been as part of a financial statistics course.

Course aim
This course aims to build a solid, comprehensive understanding of the use of the regression model when one progresses from the Classical Linear Regression Model, with its strong and unrealistic assumptions, and addresses the issues that researchers encounter in practice.

Credits
5.0 ECTS creditsThe decision to award credits is at the discretion of the student's home institution. Students should always check with their home institution to confirm the number of credits that can be awarded.

Course fee
GBP 1365[Convert to USD]Academic rate - available to students and staff of academic institutionsGBP 2310[Convert to USD]Standard rate

Course leader
Dr Christopher Dougherty

Scholarships
Previous students of LSE may be eligible for a 15% discount on their tuition fees.

London School of Economics
Address: Houghton Street
Postal code: WC2A 2AE
City: London
Country: United Kingdom
Website: http://www.lse.ac.uk/study/summerSchools/Methods/home.aspx
E-mail: summer.methods@lse.ac.uk
Phone: +44 (0)20 7955 6422