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NBS8629 : Econometrics

  • Offered for Year: 2024/25
  • Module Leader(s): Dr Diego Zambiasi
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus

Your programme is made up of credits, the total differs on programme to programme.

Semester 1 Credit Value: 10
ECTS Credits: 5.0
European Credit Transfer System


The course introduces graduate level econometrics. The module provides students with the basic tools for understanding applied research and with solid mathematical foundations of econometric techniques.

The module covers the Linear Regression model in depth. Students are going to learn about the ordinary least squares estimator, its properties, and use in statistical inference. Students will learn how to deal with violations of the Gauss-Markov assumptions.

Outline Of Syllabus

1. Introduction. What econometrics is about / The inference problem / Reminder of finite sample OLS properties.

2. Statistical inference. Reminder on asymptotic theory (Law of Large Numbers, The Central Limit Theorem) / Asymptotics of OLS.

3. Non-Spherical disturbances. Heteroscedasticity, Clustering, Autocorrelation.

4. Identification Issues in the Linear Model. Omitted variable bias, Measurement error bias, Functional form misspecification.

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Guided Independent StudyAssessment preparation and completion321:0032:00N/A
Scheduled Learning And Teaching ActivitiesLecture72:0014:00Present-in-person
Guided Independent StudyDirected research and reading251:0025:00N/A
Scheduled Learning And Teaching ActivitiesPractical41:004:00Computer classes (PiP)
Guided Independent StudyIndependent study251:0025:00N/A
Teaching Rationale And Relationship

Lectures provide an exhaustive and in-depth introduction to the core course material, and introduction to required techniques. Computer classes will teach the application of these methods with real world data. Private study facilitates review and understanding of lecture material.

Assessment Methods

The format of resits will be determined by the Board of Examiners

Description Length Semester When Set Percentage Comment
Written Examination901A100N/A
Formative Assessments

Formative Assessment is an assessment which develops your skills in being assessed, allows for you to receive feedback, and prepares you for being assessed. However, it does not count to your final mark.

Description Semester When Set Comment
Prob solv exercises1MIn-class tests, Canvas quizzes, homework exercises
Assessment Rationale And Relationship

Unseen written in person exam is the best way to assess graduate level econometrics to the required standards. The formative assessment will give students the opportunity to receive feedback on exercises that will help guide their exam preparation.

Reading Lists