Advanced Econometrics with R coding

Key information

Start date
End date
Term 2
Module code
FHEQ Level
Department of Economics

Module overview

This module builds on Econometrics (15PECC008). The module caters to the need of both MSc students and PhD students whose research involves empirical modelling.

The module covers concepts and techniques for analysing time-series data and designing dynamic models, e.g. stationarity versus nonstationarity, cointegration, exogeneity and simultaneity, model encompassing. It is applied-modelling oriented and mathematical proofs and derivations are kept to a minimum. This module provides students with practical experience in modelling economic relationships, and enhances their competence in critically evaluating research results, and carrying out good quality empirical work. The final coursework is an embodiment of these training goals.

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 and techniques in time-series econometrics,
  • formulate and experiment with different dynamic models,
  • 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

AS1 - 70% / AS2 - 20% / AS3 - 10%


Suggested reading

The reading of Part 2 of Wooldridge (2016) is a prerequisite for this module.

  • Wooldridge J M (2016) Introductory Econometrics: A Modern Approach, 6th edition (or earlier). Cengage Learning, ISBN: 978-1-305-27010-7

Further 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
  • 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