LSE EME Preparation

[confusedecon]

Hi All,

 

I have been offered a place for the EME MSc at LSE. I'm planning on deferring the offer until next year and plan to work/prepare before the course begins. I have an undergraduate degree from a Russel Group University with good marks but didn't take much Econometric Theory (although did take relatively difficult micro/macro sequences).

 

I have searched the forum and seen that there have been threads discussing the programme, however, these seem to be slightly outdated.

 

And so I wanted to ask what mathematics and statistics/econometrics would you recommend I look at to prepare for the course? My current background is perhaps the equivalent of an American sequence of Calc1-3, Linear Algebra, Econometrics (intermediate).

[richardsorge]

For metrics, the usual set of textbooks is: Casella-Berger (for statistical background), Hayashi (for OLS-GMM), Wooldridge (Panel Data and Cross Section), Hamilton (time series)

You will need some basic topology and continuity-limit knowledge as well, which can be remedied using Rudin's Math Analysis.

[confusedecon]

For metrics, the usual set of textbooks is: Casella-Berger (for statistical background), Hayashi (for OLS-GMM), Wooldridge (Panel Data and Cross Section), Hamilton (time series)

You will need some basic topology and continuity-limit knowledge as well, which can be remedied using Rudin's Math Analysis.

 

Thank you! I've seen these books used in various context when looking at other universities courses and I have covered some aspects of these. Thanks for pointing me in the right direction.

[chateauheart]

Hayashi is quite advanced and Wooldridge is similar to a reference text. They may be overkill.

 

I think a thorough study of Rudin and Casella-Berger - e.g. solving 1/3 of the problems by yourself - is sufficient preparation for micro and stats/econometrics. If you still aren't confident of your math foundations, it's probably better to work through parts of a graduate probability text like Billingsley rather than to preview another econometric theory text.

 

Your macro background is likely strong enough.

[confusedecon]

Hayashi is quite advanced and Wooldridge is similar to a reference text. They may be overkill.

 

I think a thorough study of Rudin and Casella-Berger - e.g. solving 1/3 of the problems by yourself - is sufficient preparation for micro and stats/econometrics. If you still aren't confident of your math foundations, it's probably better to work through parts of a graduate probability text like Billingsley rather than to preview another econometric theory text.

 

Your macro background is likely strong enough.

 

That's roughly my plan. It seems LSE second year undergrads work through the first 6 chapters of Casella-Berger and equivalent of Rudin (first 6/7). I do believe there's also a MOOC by MIT that uses Casella-Berger so I'll have a look and use it to aid my prep.

 

I have had a couple years out and so will also try and refresh my knowledge of intermediate macro/micro (particularly micro) by going through Williamson/Romer (macro) and Varian (micro). However, my main objective is to finish the stats/maths components before going ahead and re-visiting the micro/macro parts.

 

Haven't heard of the Billingsley text so will have a look at that. Thank you for that. Quick question, I find video material a good supplement to going through textbooks. Is there some online lectures that cover Billingsley (or equivalent)?

 

Also going to apply to other programmes that may be less intensive but still strong across Europe because the EME is expensive and somewhat of a gamble for me such as UPF, PSE, TSE etc. (I had PhD offers with funding from decent universities).

[confusedecon]

Hayashi is quite advanced and Wooldridge is similar to a reference text. They may be overkill.

 

I think a thorough study of Rudin and Casella-Berger - e.g. solving 1/3 of the problems by yourself - is sufficient preparation for micro and stats/econometrics. If you still aren't confident of your math foundations, it's probably better to work through parts of a graduate probability text like Billingsley rather than to preview another econometric theory text.

 

Your macro background is likely strong enough.

 

Thanks, that was the plan to pursue roughly the first 6/7 chapters of Rudin and CB.

 

I haven't heard of Billingsley, so thank you for that, I will have a look.

[econdinosaur1]

Confusedecon, I will say as someone who self-studied through Rudin without much background in analysis, that you utilize Stephen Abbott's Understanding Analysis as a supplement to your study. Where Abbott lacks advanced coverage of topics, Rudin provides. Where Rudin lacks mathematical motivation and guidance, Abbott provides. It could be said that the forced jumps of Rudin are beneficial to you grasping concepts, which is true, but for me personally, my comprehension of the material was significantly bolstered by Abbott, which is written in a very clear and gentle, yet rigorous manner.

[confusedecon]

Confusedecon, I will say as someone who self-studied through Rudin without much background in analysis, that you utilize Stephen Abbott's Understanding Analysis as a supplement to your study. Where Abbott lacks advanced coverage of topics, Rudin provides. Where Rudin lacks mathematical motivation and guidance, Abbott provides. It could be said that the forced jumps of Rudin are beneficial to you grasping concepts, which is true, but for me personally, my comprehension of the material was significantly bolstered by Abbott, which is written in a very clear and gentle, yet rigorous manner.

 

Thank you very much, will have a look at that. I guess the hard thing is self-studying from a (dense) textbook. I do believe there are lectures online which can hopefully supplement my learning. What are peoples opinions of the Ok Real Analysis with Economic Applications? I was thinking of using this as a stepping stone.

 

Also, going to re-visit Marx and Larson before Casella and Berger.

[confusedecon]

Thanks Econdinosaur.

 

Yes makes sense, self-studying through a textbook is harder than being guided through by lectures/tutorials. I was thinking of first looking at Ok Real Analaysis for Economics. Has anyone had a look? Was planning on giving this a skim before Rudin. Will check out Abbott though, so thank you for that.