This course is an introduction for economics graduate students to the methods of empirical analysis in economics and related disciplines. The emphasis is on the essential ideas and the applications of econometric methods rather than on technical and theoretical details. However the results are not just presented but instead are derived using a mixture of rigour and intuition so as to leave as few loose ends as possible. The use of an econometric software computer program provides the opportunity to apply the techniques developed.

We recognise that available economic data are either cross sectional (observations on several economic units - usually countries, firms or households - at a single point in time) or time series (observations one economic unit over time), or panel (observations on several economic units followed through time), and each type of data may need its special set of tools. In this course, we start with the linear regression model, which is the simplest model for explaining one variable using several explanatory variables, and then move to an introduction to ‘micro-econometrics', i.e., methods most useful for the analysis of cross sectional data, and an introduction to ‘macro-econometrics', i.e., methods most useful for the analysis of aggregate data over time.

Main topics:

1. Linear econometric models: (OLS and GLS)

2. Economic relationships and endogeneity (instrumental variables, 2SLS)

3. Introduction to micro-econometrics (probit, logit and their extensions).

4. Introduction to macro-econometrics (dynamics, unit roots and cointegration)

5. Panel data methods (random and fixed effects).

The course is designed for students at the Diploma or Master degree level. A general knowledge of economics at the postgraduate level is assumed, along with preparation in mathematics and statistics to the level attained in a good undergraduate program in economics.