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Thread: LSE EME Preparation

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    LSE EME Preparation

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searched the forum and seen that there have been threads discussing the programme, however, these seem to be slightly outdated.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

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    Re: LSE EME Preparation

    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.

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    Re: LSE EME Preparation

    Quote Originally Posted by richardsorge View Post
    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.

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    Re: LSE EME Preparation

    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.

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    Re: LSE EME Preparation

    Quote Originally Posted by chateauheart View Post
    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.

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    Re: LSE EME Preparation

    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.

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    Re: LSE EME Preparation

    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.

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