| Unit name | Advanced Econometric Theory (QM6) |
|---|---|
| Unit code | ECON30392 |
| Credit points | 20 |
| Level of study | H/6 |
| Teaching block(s) |
Teaching Block 4 (weeks 1-24) |
| Unit director | Professor. Windmeijer |
| Open unit status | Not open |
| Pre-requisites |
50% in Foundations of Econometric Theory (QM5) ECON21356 |
| Co-requisites |
None |
| School/department | School of Economics |
| Faculty | Faculty of Social Sciences and Law |
Specialised topics in econometrics theory will be discussed. The first part will examine hypothesis testing. The second part will focus on large sample properties of the OLS and Maximum Likelihood estimators. The third part is concerned with general testing procedures based on the principle of maximum likelihood. The fourth part consists of instrumental variables estimation. Part five deals with time series econometrics and part six concludes with an introduction to panel data models.
At the end of the course, students should be able to:
Eighteen one hour lecture and eighteen one hour tutorial.
Formative assessment: Weekly problem sets. Two of the problem sets will be marked.
Summative assessment: 100% by a three hour closed book examination, divided into Section A (specialised topics covered by the first lecturer) and Section B (specialised topics covered by the second lecturer).
Section A consists of three questions from the first ten weeks and Section B consists of three questions from the second ten weeks. Students are required to answer two questions from Section A and two questions from Section B.
The summative and formative assessments are designed to fully test all of the learning outcomes of the unit.
Teaching Block 1
Greene W.H., Econometric Analysis (6th Edition) Prentice Hall
Judge, G.G., Griffiths, W.E, et al. (1985) The Theory and Practice of Econometrics.
ellner, A., (1971), An Introduction to Bayesian Inference in Econometrics. John Wiley
Teaching Block 2
R. Davidson and J.G. Mackinnon (1993) Estimation, Inference and Econometrics. Oxford University Press
Godfrey. L.G. (1988) Misspecification Tests in Econometrics. Cambridge University Press
