Schedule. This module of the MPhil Econometrics course will run for MT Weeks 7-8 and HT Weeks 1-2. The first lecture is on Wednesday of Week 7.
An additional lecture will be held on Wednesday of Week 3, at 16:00--17:30, in the Lecture Theatre.
Outline. I plan to cover the follow topics:
Instrumental variables [in considerably more detail than Bent]
Generalised method of moments
Maximum likelihood: with a detailed treatment of discrete choice models
Inference: (Q)LR and LM tests, and tests of nonlinear restrictions [covered in parts 2 and 3 of the notes]
Lecture notes. Uploaded at: 31/01/18, 21:35. Substantive corrections to parts of the notes previously released will be marked with margin notes in the pdf. (These will not appear when the notes are printed, and are only guaranteed to be visible if you display the document using Adobe Reader.) Please email me if you find any errors.
[Notes reformatted for display in lectures.]
Reading. In addition to the course notes, I strongly recommend reading the relevant parts (as indicated in the course notes) of:
BH: Hansen (2017) Econometrics, available freely online here
Hansen's book is excellent, thorough, and pitched at an appropriate level for this course. For those of you who feel you would benefit from additional readings, I shall also suggest readings from:
JW: Wooldridge (2010) Econometric Analysis of Cross Section and Panel Data
DM: Davidson & MacKinnon (2009) Econometric Theory and Methods
FH: Hayashi (2000) Econometrics
Of these, I find Wooldridge gives the best non-technical explanations of the material, and so may appeal more to those of you with an empirical bent.
Problem sets.