London School of Economics and Political Science (LSE)

Modules

20
Elements of Econometrics

Prerequisites (if taken as part of a BSc degree):
02 Introduction to economics and 04a Statistics 1 and 5a Mathematics 1. [Currently registered students should consult the Regulations for alternative prerequisites.]

Note: It is highly recommended that students taking this unit should have access to a personal computer and the Internet. While it is possible to pass the examination without this, students would benefit from having access to the resources available at:
http://econ.lse.ac.uk/courses/ec220/G/EEES.html (external link; new window). This website has PowerPoint slideshows explaining econometric topics, with some worked exercises, data sets for practical work, with manuals. All of these resources may be accessed/downloaded with no restrictions.

Simple and multiple regression and the properties of ordinary least squares; test statistics; multicollinearity; transformation of variables; dummy variables; problems of variable misspecification; proxy variables; tests of linear restrictions; heteroscedasticity; stochastic regressors and measurement error bias; simultaneous equations estimation; maximum likelihood estimation, binary choice models, tobit analysis, and sample selection bias; simple dynamic models; autocorrelation; introduction to regression analysis using nonstationary processes, including unit root tests, cointegration, and error correction models.