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Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
10 Credits

Software for Econometrics and Big Data

Please note to take this course you must first have completed Foundations of Econometrics

The aim of this course is to provide students with programming skills that can be used to perform data management operations and several types of statistical and econometric analysis in an efficient and reproducible way. Students will be taught the fundamentals of programming in Stata. The module will prepare students for PhD research or work as an econometrician consultant in public and private organisations.

​This module can be taken as part of a PG Certificate, PG Diploma or Full Masters Program.

Software for Econometrics and Big Data
  • 10 Credits
  • 100 hours of study
  • 15 contact hours
  • 85 hours for private study
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Qualifications accredited by Lancaster University
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Buildable Qualifications
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Learn Around
Your Schedule
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World-Class
Faculty
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Fully Online

Structure

Software

Module Programme

Programming: Some Fundamental Concepts

Session Content
  • Do and ado files in Stata
  • Data types: Working with dates and time, time series operators, factor variables
  • Debugging – the capture command
  • Protecting your data with preserve and restore

Guidelines for writing programs in Stata

Session Content
  • Basic guidelines for writing do-files
  • Enhancing speed and efficiency
  • How to seek help for Stata programming

Programming Stata Do-Files I

Session Content
  • Transformation of string and numeric variables
  • Recoding discrete and continuous variables
  • Recoding missing variables
  • Generate and egen functions
  • Local and global macros
  • Extended macro functions and list functions

Programming Stata Do-Files II

Session Content
  • Scalars and matrices
  • Temporary variables and tempnames
  • Looping commands: forvalues and foreach
  • By, statsby, rolling and other prefix commands
  • Transforming data with reshape
  • Combining datasets with append and merge

Programming Concepts and Tools in Action I

Session Content
  • Tabulating and computing statistics across a set of variables and groups
  • Computing durations and aggregating transactions data
  • Summarising group characteristics over observations

Programming Concepts and Tools in Action II

Session Content
  • Adding aggregate characteristics to micro observations
  • Reusing results: return and ereturn commands
  • Accessing estimation results and margins

Automation - Do-File Programming I

Session Content
  • Storing results in matrices
  • Stata’s post and postfile commands

Automation - Do-File Programming II

Session Content
  • Automating estimation output – the user-written commands estout and tabout,saveresults
  • Automating graphical output

ADO-File Programming I

Session Content
  • Structure of an ado-file● Syntax and return statements
  • Using program options
  • Including a subset of observations
  • Generalizing commands to handle multiple variables
  • Rendering commands byable

ADO-File Programming II

Session Content
  • Writing an e-class program
  • Programs for egen, ml, nl
  • Programs for gmm
  • Guidelines for ado-file programming style

Fundamentals of Mata programming

Session Content
  • Mata Fundamentals
  • A simple Mata function
  • Components of a Mata function
  • Calling Mata functions
  • Mata’s st_interface functions

Session Content

Session Content

Prerequisites

English Language Requirements

Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.

 The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.

Academic Requirements

Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.

Learning Outcomes

Key Skills
  • Understand the principles of Stata programming
  • Write Stata do-files for automating the workflow
  • Write ADO-files to extend Stata by creating new commands
  • Understand the basics of Mata Programming Language
Desired Skills
  • Use automatic model selection to build econometric models
  • Use saturation estimation
  • Present, interpret and analyse the results of automatic model selection
  • Utilise effectively PcGive and the R gets package packages

Frequently Asked Questions

Are the courses within either programme conducted synchronously or asynchronously?

All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.

Is all examination undertaken online or in-person?

All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.

Do I need to buy any statistical/econometric software?

No, all necessary software is provided to students.

What do I do if I can't attend a course live?

All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.

A Collaboration Like No Other

Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.

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