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Introduction to Econometrics

5SSMN932

5

Autumn

15

Module description

This module introduces students to the main techniques that economists use for estimating economic relationships, testing economic theories and evaluating government and business policies.

We cover the fundamentals of linear regression analysis as well as more advanced topics related to estimation and inference for probability models, panel and time series data. Throughout the module, we study examples based on real data and published research. In class, we do some number crunching ourselves using Stata, a fast and versatile software for quantitative research and we will have 5 workshops throughout the Semester in addition to tutorials and lectures.

Our ultimate goal in this module is to learn how to use data to answer causal if-then questions, i.e. to make predictions under plausible assumptions, consistent with the available evidence.

Who should do this module?

It should be of interest to students who want a deeper understanding of quantitative methods.

Provisional Lecture Outline

Lecture 1: Introduction to linear regression

Lecture 2: Simple linear regression I: Assumptions and Estimation

Lecture 3: Simple linear regression II: Interpretation and Inference

Lecture 4: Multiple regression I: Omitted variable bias, inference, interpretation

Lecture 5: Multiple regression II: Non-linear functions

Lecture 6: Instrumental Variables

Lecture 7: Panel data I: fixed effects

Lecture 8: Panel data II: random effects

Lecture 9: Probability models

Lecture 10: Applications: prediction with many regressors and Big Data

Assessment details

80% Examination

20% Individual Coursework

The format of the examination has not yet been confirmed. All students will be expected to sit any remote exams in January, but semester 1 only students will be set an alternative assessment in lieu of in-person exams

Teaching pattern

Fortnightly Workshops

Weekly Tutorial

J.H. Stock and M.W. Watson, Introduction to Econometrics, 4th edition, Pearson 2020

Department

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.