SOAS University of London

Department of Economics

Advanced Econometrics A

Module Code:
Taught in:
Term 2

This module builds on the basic foundations provided by Econometrics (15PECC008), focusing principally on time series econometrics. The lectures consist of an introduction to the econometric methods and the coursework is strongly orientated towards the use of econometric methods in the estimation and testing of economic relationships. Data from developing countries are used where possible. The use of formal arguments is kept to a minimum and students are not normally required to prove theorems.

This module enables students to gain practical experience, and aims to create competence in critically evaluating research results, and carrying out good quality empirical work.

Objectives and learning outcomes of the module

Topics covered include:  Introduction to time series, data-generation processes, stationarity, integratedness, spurious regressions, interdependence, cointegration, exogeneity and causality, identification, model evaluation techniques and model selection criteria, dynamic modelling.

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 primary 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: Exam 70% / Coursework 30% (empirical).  Coursework not resubmittable.

Suggested reading

Guidance on reading will be provided in the lectures. The principal textbook is:

  • 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


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