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Econometrics - ECO00091M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Michael Thornton
  • Credit value: 20 credits
  • Credit level: M
  • Academic year of delivery: 2024-25
    • See module specification for other years: 2023-24

Module summary

A graduate level introduction to the key statistical techniques required to examine economic models with data, enabling students to follow large parts of the empirical literature and to carry out such analyses themselves.

Related modules

prohibited combinations: Statistics and Econometrics or Econometric Methods for Research

Will provide background for Financial and Time Series Econometrics and Applied Microeconometrics

Module will run

Occurrence Teaching period
A Semester 1 2024-25

Module aims

To equip students with intermediate level knowledge of the core techniques employed in modern econometric analysis so that they are able:

to follow the techniques and arguments used in a range of empirical papers in Economics and Finance; and,

to undertake a successful empirical dissertation.

Module learning outcomes

On completing the module a student should be able:

To recognise and interpret various mathematical objects that arise in the theory of least squares estimation and testing.

To extend these skills to the estimation and testing of models under conditions that commonly arise in economic data, including:

disturbances that are heteroskedastic and/or serially correlated

dependent variables that are qualitative (can only take one of a finite number of values) or limited to the range of values they can take

regressors that are endogeneous, through instrumental variable estimation

models for data which also has a time dimension.

To present and derive key statistical results discussed during the module at an appropriate mathematical level

To interpret correctly the results of empirical statistical analysis as performed using contemporary econometric software.

To communicate, and to make recommendations based on, those results in written format.


Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Closed exam : Econometrics
2 hours 70
Coursework : Econometrics
N/A 30

Special assessment rules


Additional assessment information

Formative assessment will consist of:

  • multiple choice VLE topic tests (in non-seminar weeks)

  • use of polling software during practicals

  • one submitted “exam question” style exercise.


Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Closed Exam - Econmetrics
2 hours 70
N/A 30

Module feedback

Individual feedback will be given on assessments as marks are released, in line with DERS policy.

Indicative reading

  1. Greene. Econometric Analysis.

  2. Heij, DeBoer, Franses, Kloek and van Dijk. Econometric Methods with Applications in Business and Economics.

  3. Verbeek. A Guide to Modern Econometrics

The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.