SOAS University of London

Department of Economics

Advanced Econometrics B

Module Code:
Taught in:
Term 2

The course is built on Econometrics (15PECC008) and complementary to Advanced Econometrics A (15PECC045). It caters to the need of both MSc students with an empirical bent and PhD students whose research involves emperical modelling.  The course is and option which runs in parallel with Advanced Econometrics A (15PECC045).

The course covers basic econometric methods commonly used for analysing microeconomic survey data and panel data.  These include limited dependent variable methods, programme evaluation methods for estimating the impacts of policy-driven social programmes, and basic approaches in handling key features of panel data.  It also discusses fundamental methodological issues in emperical modelling research to help students deepen their understanding of econometrics and enhance their critical appreciation of emperical works.  The course is strongly applied-econometrics oriented with minimum emphasis on mathematical proofs and derivations.  It is taught in a computer room with most examples based on real data samples

Objectives and learning outcomes of the module


The objective of the module is to enable students to use and apply appropriately basic micro-econometric methods currently being employed in development economics and economics in general.  It also aims at raising students' critical appreciation of applied econometric practice and broadening their understanding of major methodological issues in econometrics. 

Learning Outcomes


On successful completion of the module, students will be able to:

  • Obtain a string background in micro-econometrics and applications of the following topics: Limited dependent variable methods (probit/logit, Tobit and Heckman selection model method), programme evaluation methods (instrumental variable methods, propensity score matching and difference in differences methods), basic methods in filtering fixed effects, random effects and random trend effects from panel data.  
  • Iimprove their critical skills in evaluating applied modelling works.

Method of assessment

Assessment weighting: Exam 70% / Coursework 30% (1 essay)

Suggested reading

Main Textbooks:

  • Cameron and Trivedi (2005).  Microeconomics:  Methods and Applications
  • Wooldridge J (2010). Econometric Methods for Cross Section and Panel Data. MIT Press
  • Greene W (2006, 6th Edition). Econometric Analysis. Pearson-Prentice Hall.


Other useful readings:

  • Swann, P (2006) Putting Econometrics in Its Place. Edward Elgar
  • Angrist J and Pischke J-S (2008). Almost Harmless Econometrics. Princeton Press


Important notice regarding changes to programmes and modules