Course Outline for EC468: Econometric Theory

The o cial course outline is available on the teaching section of the departmental website: http://www.strath.ac.uk/economics/currentstudents/honours/. Details on course level, credits, prerequisites and assessment are provided there. The purpose of this uno cial outline is to provide additional details not available on the o cial outline. Lecturer: Gary Koop, Sir William Duncan Building Room 4.06. O ce hour: Tuesday 3-4. Email: gary.koop@strath.ac.uk Administrator: Elizabeth Palmer. Email: elizabeth.palmer@strath.ac.uk The Web: I will use the web extensively for announcements and course materials (i.e. problem sheets, copies of the slides used in lectures and other materials will all be placed there). The direct link to the course website is http://personal.strath.ac.uk/gary.koop/et.html, but can also be accessed through LearnOnline. Please look at the website regularly. Module Organization: This module will be taught using a combination of lectures and tutorials. There will be 18 hours of lectures and 6 hours of tutorials. Schedule: In total there are 24 hours of lectures and tutorials. These will be run as 3 hours per week for 8 weeks (weeks 1 through 8 of semester 2). Lectures will take place Tuesday 11-12 and Wednesday 10-11. Tutorials will take place on Wednesday 10-11 (except for 2 of the Wednesday time slots which will be used for lectures). The tutorials will start in week 2.

Assessment: Assessment will be hased on a 2 hour written examination. The format of the exam will be discussed in the lectures. Reading List: The textbook for this course is Bayesian Econometrics by Gary Koop (published by Wiley). This is available in the bookstore or my webpage (http://personal.strath.ac.uk/gary.koop/) has a link to its website should you wish to order it o of the internet I have written another book, Bayesian Econometric Methods, by Gary Koop, Dale Poirier and Justin Tobias (published by Cambridge University Press). This is not a textbook, but rather a book of exercises with solutions. Some of the exercises in the problem sheets are taken from this book. It is not essential for you to purchase this book, but you may nd this book to be a useful resource.

Course Content: Note: Chapter citations are from my textbook. 1. An overview of Bayesian econometrics (including relevant background in statistics and probability) Reading: Chapter 1 and Appendices A and B 2. Bayesian Analysis of the Normal linear regression model Reading: Chapter 2, 3 and 4 3. The Normal linear regression model with general error covariance matrix Reading: Chapter 6 4. Panel Data Models Reading: Chapter 7 5. Bayesian time series analysis (including state space models) Reading: Chapter 8 and lecture slides