Econometrics

Module description

'Econometrics' is the measurement ('metrics') of Economics ('econ'). In other words, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference" (Samuelson et al., 1954). This module aims to provide an introduction to the fundamental theoretical concepts and applications of econometrics. The course gives students an understanding of the science and art of determining what type of empirical model to build, estimating the parameters of the model, testing the model adequacy, and conduct hypothesis testing to answer practical questions in policy analysis. Students will also learn how to do applied econometrics using STATA software package.

Assessment details

6x handwritten problem sets (10%), group work project (40%) & 2-hour examination (50%)

Educational aims & objectives

• to develop the technical skills in econometric analysis necessary to undertake quantitative analysis of economic phenomena;
• to create an understanding of formal methods of economic analysis and data analysis using econometrics software;
• to provide a foundation for the advanced study of econometrics/quantitative methods in their third year and at postgraduate level.

Learning outcomes

• Learn methods for estimating causal effects using observational data

• understand the assumptions of regression analysis, the OLS estimator and its properties;

• interpret simple and multiple regression equations and be able to understand empirical economics papers;

• understand the basic principles of hypothesis testing and conduct significance tests in linear regression models;

• explain how to carry out tests of heteroskedasticity, omitted variables and other misspecification tests;

• understand and familiarise with standard techniques for policy evaluation;

• use standard econometrics packages for regression analysis and interpret their output

Teaching pattern

2-hour lectures weekly, 6x 1-hour lab-based seminars, 1x 2-hour STATA surgery session in week 1

Suggested reading list

There is no single textbook for the course. I will base my lectures mostly on the following textbooks. Both are available at the library and in e-book format.

• Stock and Watson, Introduction to Econometrics, Person 3rd edition (or 2nd).
• Wooldridge Jeffrey M., Introduction to Econometrics, Cengage Learning, 1e 2013, ISBN: 978-1-4080-9375-7

Module description disclaimer

King’s College London reviews the modules offered on a regular basis to provide up-to-date, innovative and relevant programmes of study. Therefore, modules offered may change. We suggest you keep an eye on the course finder on our website for updates.

Please note that modules with a practical component will be capped due to educational requirements, which may mean that we cannot guarantee a place to all students who elect to study this module.

Please note that the module descriptions above are related to the current academic year and are subject to change.