SOAS University of London

Department of Economics

Advanced Econometrics A

Module Code:
Taught in:
Term 2

This module builds on Econometrics (15PECC008) and is complementary to Advanced Econometrics B (15PECC051). The module caters to the need of both MSc students and PhD students whose research involves empirical modelling. The module is and option which runs in parallel with Advanced Econometrics B (15PECC051).

The module covers econometric methods for the analysis of time series data. Topics covered include introduction to data-generation processes and time series, stationarity, integratedness, spurious regressions, cointegration, exogeneity and causality, identification, model evaluation techniques and model selection criteria, and dynamic modelling.

The module is focused on applied-econometrics. Mathematical proofs and derivations are kept to a minimum. The coursework is strongly orientated towards the use of econometric methods in the estimation and testing of economic relationships. This module provides students with practical experience in modelling economic relationships, and aims to create competence in critically evaluating research results, and carrying out good quality empirical work.

Students pursuing a degree external to the Department of Economics should contact the convenor for approval to take this module.

Objectives and learning outcomes of the module

On successful completion of the course, you should be able to:

  • explain core concepts in time series econometrics,
  • formulate and apply different dynamic econometric models, explain how these relate to each other and assess them,
  • conduct research with secondary data using econometric and statistical software and critically evaluate your own and other's applied work in the fields of development and international economics.

Method of assessment

Assessment weighting: Coursework 100%.  Coursework is resubmittable.

Suggested reading

Guidance on readings will be provided in the lectures. Useful general textbooks are:

  • Asteriou D and S G Hall (2011) Applied Econometrics, 2nd edition, Palgrave Macmillan, ISBN:  978-0-230-27182-1
  • Charemza W W, D F Deadman (1997) New Directions in Econometric Practice, 2nd edition, Edward Elgar, ISBN:  978-1-85898-603-6
  • Gujurati D N and Porter D C (2009) Basic Econometrics, 5th edition, McGraw-Hill, International Edition, ISBN:  978-007-127625-2
  • Harris R I D and R Sollis (2003) Applied Time Series Modelling and Forecasting, John Wiley and Sons, ISBN:  978-0-470-84443-4
  • Hendry D and B Nielsen (2007) Econometric Modeling, Princeton Univeristy Press, ISBN:  978-0-691-13128-3
  • Hendry D (1995) Dynamic Econometrics (advanced text in econometrics), Oxford University Press, ISBN:  978-0-19-828316-4
  • Mukherjee C, H White and M Wuyts (1997) Econometrics and Data Analysis for Developing Countries, Routledge, ISBN:  978-0-415-09399-6
  • Patterson K (2000) An Introduction to Applied Econometrics, Palgrave Macmillan, ISBN:  978-0312235130


Important notice regarding changes to programmes and modules