Introduction to Econometric Software

Pre-requisite: Available to graduate students who have taken Data Analysis or equivalent.

Module Outline

This course will introduce students to two main econometrics software packages along with a word processing software package, and enable them to use the packages to carry out and report empirical work using the econometric methods taught in other parts of the course.  The course will consider Stata in Part 1 (October 3-4), OxMetrics (October 17, 19) in Park 2 and LaTeX (via WinEdt) in Part 3 (October 31).  The first two packages are what are called front-end packages, which are menu-driven and relatively user-friendly, allowing the user to carry out demanding econometric techniques at the click of a button. Both packages are general, covering many aspects of econometrics, and well-used by economists and social scientists. The final package is a powerful word processing package that enables users to create with ease professional looking pdf documents for writing up empirical results.  All three packages are heavily used by academics and hence are important building blocks for Doctoral students.

Learning Outcomes

After completing this module, students should be able to:

  • Use common econometric software packages to manipulate data appropriately and estimate important econometric models
  • Analyse the quality of their econometric models and hence undertake independent empirical work in their particular subject
  • Apply methods of course to easily adopt other econometrics software packages independently;
  • Comment, report and understand the output of econometric software packages in order to effectively and accurately convey results of empirical analyses.

Course Assessment

Short report (2,000 words) investigating a particular empirical question specified in the assignment.  Students will be expected to use either or both of the software packages introduced and to display effective use of the packages to accurately and appropriately convey the results of the empirical investigation.