Econometric Theory

Learning Outcomes

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• use statistical inference to gain insight from data on the effects of events and the workings of the economy;
• abstract the essential features of probabilistic models and specify statistical procedures to assess their properties through estimation.
• analyse, interpret and present economic data in an informative manner.
• apply logical analysis to statistical models and make use of inductive reasoning.
• identify violations of the theoretical assumptions required for statistical inference and describe their consequences and possible remedies.

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• analyse data using adequate techniques.

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• properties of statistical models relevant for the anaylsis of small and large datasets and their distributional properties;
• key concepts and methods from statistical theory relevant for economic data analysis.

The module covers the following topics:

• Distribution Theory: Multivariate distributions: marginal and conditional distributions, multivariate normal. Relations between normal, chi-square, F, t and Cauchy distributions.
• Asymptotic theory: probability limits and the central limit theorem.
• Inference: Estimation: Cramer-Rao inequality and Rao-Blackwell theorem. Maximum likelihood. Hypothesis testing: Neyman-Pearson Lemma and Likelihood Ratio Tests.

The module uses mathematical techniques (mainly integration, differentiation and limits) to establish relationships between distributions, and the principles of classical statistical inference. A variety of distributions (Binomial, Poissson, negative Binomial, exponential, normal, gamma) can be used to exemplify and illustrate both the distribution theory and the inference.

Lectures and tutorials.

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.