MSc Econometrics (Ec402)

Vassilis Hajivassiliou, LSE 2024

Autumn Term 2024

IMPORTANT NOTICE:

ACCESS TO THE MATERIAL ON THIS PAGE IS ALLOWED ONLY FROM:

THE MOODLE/EC402 PAGE AND BY OTHER AUTHORIZED USERS!

Return to Ec402 Moodle page

Administrative

• Office Hours
• .
• Lecture Schedule:

  Code	Teaching Title	Type	Grp	Day	Room	Start	Finish	AT Wks
  EC402	EC402 Econometrics	LEC	1	Mon	Hong Kong Theatre (CLM.G.02)	10:00	12:00	1,2,3,4,5,7,8,9,10,11
  EC402	EC402 Econometrics	LEC	1	Mon	Hong Kong Theatre (CLM.G.02)	13:00	14:00	1,2,3,4,5,7,8,9,10,11

• .
• Q&A Session Schedule:

  Code	Teaching Title	Type	Grp	Day	Room	Start	Finish	AT Wks
  EC402	EC402 Econometrics	LEC	1	Wed	Hong Kong Theatre (CLM.G.02)	11:30	12:30	8,9
  EC402	EC402 Econometrics	LEC	1	Wed	Wolfson Theatre (NAB basement)	10:00	11:00	10

• Intro: Course Guide/Reading List

---

• Part 0: Outline of Lecture Topics

  ---

• Part 1: Topic-by-Topic Lecture Notes

  Topic(s)	Slides	Extended Notes	Week
  Topics 1 and 2	Lecture Slides	Slides+Extended Notes	Week 1
  Topic 3	Lecture Slides	Slides+Extended Notes	Week 2
  Topic 4	Lecture Slides	Slides+Extended Notes	Week 2
  Topic 5	Lecture Slides	Slides+Extended Notes	Weeks 2,3
  Topic 6	Lecture Slides	Slides+Extended Notes	Weeks 3,4
  Topic 7	Lecture Slides	Slides+Extended Notes	Weeks 4,5
  Topics 8 and 9	Lecture Slides	Slides+Extended Notes	Week 7
  Topic 10	Lecture Slides	Slides+Extended Notes	Week 8
  Topic 11	Lecture Slides	Slides+Extended Notes	Week 8
  Topic 12	Lecture Slides	Slides+Extended Notes	Week 9
  Topic 13	Lecture Slides	Slides+Extended Notes	Week 9
  Topic 14	Lecture Slides	Slides+Extended Notes	Week 10
  Topic 15	Lecture Slides	Slides+Extended Notes	Week 10
  Topic 16	Lecture Slides	Slides+Extended Notes	Week 11
  Topic 17	Lecture Slides	Slides+Extended Notes	Week 11
  Topic 18	Lecture Slides	Slides+Extended Notes	Week 11
  Topic 19	Lecture Slides	Slides+Extended Notes	Week 11
  Topic 20	Lecture Slides	Slides+Extended Notes	Next Term (January 2025) Not Examinable

---

• Part 2: Additional Material

  • Anscombe's Quartet (Wikipedia)

  • Datasaurus or Anscombosaurus Animation

    [Cairo, Alberto (2016). "Download the Datasaurus: Never trust summary statistics alone; always visualize your data". ]

  ---

• Part 3: Problem Sets

  Problem Set 0	Answers to Problem Set 0	Week 1	(Linear Algebra and Probability Theory Review)
  Problem Set 1	Answers to Problem Set 1	Week 2	(Linear Model and Anscombe)
  Problem Set 2	Answers to Problem Set 2	Week 3	(A2 - direct or after steps. A3 - exogeneity)
  Problem Set 3	Answers to Problem Set 3	Week 4	(A1 and A2 - FWL and partitioning. A4 - VCov)
  Problem Set 4	Answers to Problem Set 4	Week 5	(A4, GM Theorems, IGLS and FGLS)
  Reading	Week	Week 6
  Problem Set 5	Answers to Problem Set 5	Week 7	(OLS vs GLS, MLE Gaussian vs Logistic, Linear Hypotheses restrictions)
  Problem Set 6	Answers to Problem Set 6	Week 8	(The NLRM and ANLRM models; Linear and Nonlinear parameter restrictions)
  Problem Set 7	Answers to Problem Set 7	Week 9	(MLE with A5Gaussian and A5nonGaussian) PDF answers to be submitted by 5pm, 22nov24
  Problem Set 8	Answers to Problem Set 8	Week 10	(Misspecified regression function; Asymptotics of OLS Estimated Regression Variance)
  Problem Set 9	Answers to Problem Set 9	Week 11	(Instrumental Variables Estimation) PDF answers to be submitted by 5pm, 06dec24
  Two IVE slides	useful for answering PS9.1b	.

  ---

• Part 4: Past ec402 Exams (last 3 academic years)

  2023-2024
  ec402 ST Final Exam, June 2024	Answers to ec402 ST Final Exam, June 2024
  ec402 AT Final Exam, January 2024	Answers to ec402 AT Final Exam, January 2024
  2022-2023
  ec402 ST Final Exam, June 2023	Answers to ec402 ST Final Exam, June 2023
  ec402 LT Final Exam, January 2023	Answers to ec402 LT Final Exam, January 2023
  2021-2022
  ec402 ST Final Exam, June 2022	Answers to ec402 ST Final Exam, June 2022
  ec402 LT Final Exam, January 2022	Answers to ec402 LT Final Exam, January 2022