MSc Econometrics (Ec402)

Vassilis Hajivassiliou, LSE 2025

Autumn Term 2025

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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

• .
• Schedule for Q&A Sessions:

  Code	Teaching Title	Type	Grp	Day	Room	Start	Finish	AT Wks
  EC402	EC402 Econometrics	LEC	1	Wed	PAN.G.01	11.30	12.30	8,9,10

• Join WhatsApp Study Group (Admin: Beth Frewer) [QR code]

• Intro: Course Guide/Reading List

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• Part 0: Outline of Lecture Topics

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• Part 1: Topic-by-Topic Lecture Notes

  Topic(s)	Slides	Extended Notes	Summary	Week
  Topics 1 and 2	Lecture Slides	Slides+Extended Notes	Aims, Outline, Data Types, Minimum-Distance Data Fitting, OLS	Week 1
  Topic 3	Lecture Slides	Slides+Extended Notes	MDE continued: LAD, LQD. Algebraic Results under A1. FWL etc	Week 2
  Topic 4	Lecture Slides	Slides+Extended Notes	A2 assumption: Linear, Additively Nonlinear, etc. Sampling Error Vectors.	Week 2
  Topic 5	Lecture Slides	Slides+Extended Notes	A3: Experimental vs Observational Data. Nonstochastic vs Stochastic Regressors.	Weeks 2,3
  .	.	.	A3F, A3Rmi, A3Rsru. Exogeneity: Strong and Weak. Bias. GMM	.
  Topic 6	Lecture Slides	Slides+Extended Notes	Caveats about Population Moments. Sphericity - A4GM(iid) vs Nonsphericity A4Omega.	Weeks 3,4
  .	.	.	GM1 and GM2/Aitken Theorems. IGLS and FGLS	.
  Topic 7	Lecture Slides	Slides+Extended Notes	True Error population distribution: A5. BLUE under Classic Scenario 1 and Generalized Scenario 2.	Weeks 4,5
  .	.	.	A5Gaussianity and BUE. MLE. NLRM and ANLRM Theorems	.
  Topics 8 and 9	Lecture Slides	Slides+Extended Notes	Inference Aims: CI, Prediction, HT. Inference in Classic and Generalized NLRM. DGP vs MAFE/MAFE+	Week 7
  Topic 10	Lecture Slides	Slides+Extended Notes	NLRM vs ANLRM. A=Approximate for large S vs A=Asymptotic for infinite S. CUAN.	Week 8
  Topic 11	Lecture Slides	Slides+Extended Notes	Exact and Approximate SEV for Analytic Estimators. ANLRM, Taylor Expansions, and other Asymptotic.	Week 8
  Topic 12	Lecture Slides	Slides+Extended Notes	Inference Aim 3: Hypotheses Testing. NLRM and ANLRM. The Trinity of Test Procedures.	Week 9
  Topic 13	Lecture Slides	Slides+Extended Notes	Six Leading Cases of HT: Overview and Analytics.	Week 9
  Topic 14	Lecture Slides	Slides+Extended Notes	Interactions between/A Synthesis of A1-A5. Benign vs Serious Violations.	Week 10
  Topic 15	Lecture Slides	Slides+Extended Notes	The Seven Leading Causes of Regressor Endogeneity.	Week 10
  Topic 15B: Preview of IVE	Lecture Slides	.	A Preview of IVE: Inconsistency of OLS and Reverse Engineering Consistent Estimator 7	Week 10
  Topic 16	Lecture Slides	Slides+Extended Notes	Extensions to A2 (Nonlinearities); A4/A3 (infinite/undefined moments); A3 (endogeneity)	Week 10
  Topic 17	Lecture Slides	Slides+Extended Notes	Model Misspecification: DGP vs MAFE/MAFE+	Week 11
  Topic 18	Lecture Slides	Slides+Extended Notes	IV Estimation: Identification, Instrument Validity and Relevance, Statistical Properties of IVE. Overidentification.	Week 11
  Topic 19	Lecture Slides	Slides+Extended Notes	Estimation of Nonlinear Regression models, with or without Endogeneity. Limited Dependent Variable Models	Week 11
  Topic 20	Lecture Slides	Slides+Extended Notes	Next Term (January 2026) Not Examinable

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• 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". ]

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• 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. FWL and partitioning )
  Problem Set 3	Answers to Problem Set 3	Week 4	(A1 and A2. A3 - exogeneity. A4 - VCov)
  Problem Set 4	Answers to Problem Set 4	Week 5	(A4, GM Theorems, and IGLS)
  Reading	Week	Week 6
  Problem Set 5	Answers to Problem Set 5	Week 7	(OLS vs GLS, FGLS, 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, Monday 24nov25
  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, Monday 08dec25

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

  2024-2025
  ec402 ST Final Exam, June 2025	Answers to ec402 ST Final Exam, June 2025
  ec402 AT Final Exam, January 2025	Answers to ec402 AT Final Exam, January 2025
  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
  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