Schedule. This module of the MPhil Econometrics course will run for MT Weeks 7-8 and HT Week 1. The first lecture is on Wednesday of Week 7.
An additional lecture will be held on Tuesday of Week 8, at 11:30--13:00, in the Lecture Theatre.
Outline. I plan to cover the follow topics:
Instrumental variables [in considerably more detail than Steve]
Generalised method of moments
Maximum likelihood: with a detailed treatment of binary choice models
Lecture notes. Uploaded at: 18/01/30, 08:45. 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; and
JW: Wooldridge (2010) Econometric Analysis of Cross Section and Panel Data
For those of you who feel you would benefit from additional readings, my notes also give references to the relevant sections of
DM: Davidson & MacKinnon (2009) Econometric Theory and Methods
FH: Hayashi (2000) Econometrics
Problem sets.
For revision: a problem set and solutions from last year's course. [Be advised that any references are to last year's version of the course notes.]