EC205-Intermediate Econometrics

Module Provider: School of Politics, Economics and International Relations
Number of credits: 20 [10 ECTS credits]
Level:5
Terms in which taught: Spring term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites: EC204 Introductory Econometrics or EC204NU Introductory Econometrics
Modules excluded: EC207 Empirical Methods for Economics and Social Sciences
Current from: 2022/3

Module Convenor: Dr Shixuan Wang
Email: shixuan.wang@reading.ac.uk

Type of module:

Summary module description:

This module complements EC204 Introductory Econometrics and will provide foundations for econometrics and other modules at part three. It will explore more deeply the ordinary least squares (OLS) estimator and its properties, hypothesis testing, study departures from the standard assumptions, aspects of model specification, and will further develop statistical software skills. Other estimators will also be introduced.

Aims:

To provide a deeper understanding of the OLS regression and the underlying assumptions, including proofs and derivations of the estimator’s statistical properties; to develop an understanding of how to go about making model specification choices as an applied econometrician; to understand some alternative estimators and when these could be appropriate to model relationships between variables; to further develop statistical software, programming, and data handling skills.

Assessable learning outcomes:

At the end of the module students should be able to:

• Derive the OLS estimator and prove its statistical properties.


• Understand departures form the OLS assumptions and the consequences when data and models are not consistent with them.


• Understand more deeply hypothesis testing, estimation methods, and aspects of model specification.


• Understand some alternatives to OLS.


• Undertake estimation tasks using computer software.Ìý

Additional outcomes:

Greater familiarity with econometric software, programming, and the processes involved in handling data and preparing them for analysis.

Outline content:

The module will cover most of the following: Econometrics with Matrix Algebra, The OLS Estimator, and the Gauss Markov Theorem, Statistical Inference with OLS, Dummy Variables Techniques, Prediction, Model Specification Testing and Choice, Endogeneity and Omitted Variables, Multicollinearity, Non-Spherical Errors and Inference, Two-Stage Least Squares, IV Estimator, Fixed and Random Effects models, Maximum Likelihood Estimation, Poisson Regression, (Unconditional) Quantile Regression.

Brief description of teaching and learning methods:

Lectures, seminars, and computer classes; supported by independent study.

Contact hours:

Ìý	Autumn	Spring	Summer
Lectures		20	2
Seminars		7
Practicals classes and workshops		2
Guided independent study:		131	38
Ìý	Ìý	Ìý	Ìý
Total hours by term	0	160	40
Ìý	Ìý	Ìý	Ìý
Total hours for module	200

Summative Assessment Methods:

Method	Percentage
Written exam	80
Set exercise	20

Summative assessment- Examinations:

One 3-hour unseen written paper.

Part 2Ìýexaminations are held in the Summer term.

The examination for this module will require a narrowly defined time window and is likely to be held in a dedicated exam venue.

Summative assessment- Coursework and in-class tests:

There will be one assignment, which will test applications of the econometric theory, as well as data handling and statistical software skills.

Formative assessment methods:

Problem Sets discussed during the seminars.

Penalties for late submission:

The Support Centres will apply the following penalties for work submitted late:

• where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;
• where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

The University policy statement on penalties for late submission can be found at: /cqsd/-/media/project/functions/cqsd/documents/cqsd-old-site-documents/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:
A minimum overall mark of 40%.

Reassessment arrangements:

Re-assessment for all modules takes place in August/September of the same year.

Re-assessment is by examination only; coursework is not included at the second attempt.

Additional Costs (specified where applicable):

1) Required text books:Ìý INTRODUCTORY ECONOMETRICS MODERN APPROACH
7th Edition, ISBN-13: 9781337558860, ISBN: 1337558869, Authors: Jeffrey M. Wooldridge

2) Specialist equipment or materials:Ìý Students will need to use Stata (statistical software), available under licence from the University’s applications catalogue.

3) Specialist clothing, footwear or headgear:Ìý None

4) Printing and binding:Ìý There may be optional costs associated with photocopying or printing sources listed on the reading list relating to this module. Please note that the Library charges approximately 5p per photocopy.

5) Computers and devices with a particular specification:Ìý None

6) Travel, accommodation and subsistence:Ìý None

Last updated: 22 September 2022