EC4401 Advanced Econometrics

Academic year

2024 to 2025 Semester 2

Further information on which modules are specific to your programme.

Key module information

SCOTCAT credits

20

The Scottish Credit Accumulation and Transfer (SCOTCAT) system allows credits gained in Scotland to be transferred between institutions. The number of credits associated with a module gives an indication of the amount of learning effort required by the learner. European Credit Transfer System (ECTS) credits are half the value of SCOTCAT credits.

SCQF level

SCQF level 10

The Scottish Credit and Qualifications Framework (SCQF) provides an indication of the complexity of award qualifications and associated learning and operates on an ascending numeric scale from Levels 1-12 with SCQF Level 10 equating to a Scottish undergraduate Honours degree.

Availability restrictions

Available to General Degree students with the permission of the Honours Adviser

Planned timetable

When confirmed, check online https://timetables.st-andrews.ac.uk/.

This information is given as indicative. Timetable may change at short notice depending on room availability.

Module coordinator

Prof J R McCrorie

This information is given as indicative. Staff involved in a module may change at short notice depending on availability and circumstances.

Module Staff

Prof Roderick McCrorie

This information is given as indicative. Staff involved in a module may change at short notice depending on availability and circumstances.

Module description

The module seeks to equip students with advanced skills in data analysis by introducing a number of estimation methods commonly used in economics. These include, limited dependent variable models, pooled cross-section and panel models, two-stage least squares, time series methods and simultaneous equation models. The module builds upon the knowledge of the linear regression model acquired in EC3301.

Relationship to other modules

Pre-requisites

BEFORE TAKING THIS MODULE YOU MUST PASS EC3301 OR PASS MT3508

Assessment pattern

2-hour Written Examination = 50%, Coursework (incl. 2 x Class Test 25% each) = 50%

Re-assessment

2-hour Written Examination = 100%

Learning and teaching methods and delivery

Weekly contact

20 hours of lectures over 11 weeks, 2-hour practical classes (x 3 weeks), 1-hour tutorial (x 5 weeks)

Scheduled learning hours

31

The number of compulsory student:staff contact hours over the period of the module.

Guided independent study hours

169

The number of hours that students are expected to invest in independent study over the period of the module.

Intended learning outcomes

  • Know how to specify and treat the linear model in matrix form
  • Understand difference-in-differences estimation
  • Know how to specify and estimate panel data models with fixed effects
  • Understand estimation by two stage least squares and instrumental variables
  • Understand the nature of simultaneous equation models and their properties, including their identification
  • Know how to test for unit roots and co-integration, and the properties of error correction models and their relation to co-integration