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Unit information: Advanced Econometric Theory (QM6) in 2015/16

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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

Description

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.

Intended learning outcomes

At the end of the course, students should be able to:

  1. Demonstrate a good knowledge of some specialised topics in econometric theory.
  2. Develop a theoretical argument in econometrics using propositions and theorems
  3. Rigorously prove the properties of some estimators.

Teaching details

Eighteen one hour lecture and eighteen one hour tutorial.

Assessment Details

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.

Reading and References

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

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