ECON6024 Econometrics 1
To provide you with a knowledge and understanding of the statistical foundations of econometric theory. In addition to the “classical” likelihood theory, emphasis will be placed on recent developments in the statistical theory of asymptotic approximations, empirical likelihood, and problems of identification. Some of the material may familiar to students with strong backgrounds in statistical theory, but the module seeks to develop a deeper understanding of the material.
Aims and Objectives
The aim of the module is to provide you a knowledge and understanding of the statistical foundation s of modern econometric theory. At the end of the module you should be able to appreciate econometric work (both theory and applied) that is currently appearing in the top Economics and Econometrics Journals (Econometrics, JPE, AER, Journal of Econometrics, Econometric Theory, etc). You will also hopefully, have ideas about areas of econometrics that still pose unanswered questions, and be keen to answer them!
Having successfully completed this module you will be able to:
- Assimilate frontier econometric research, as published in leading journals
- Identify new and interesting topics for future research
- Tackle such advanced problems for yourself
The main topics to be covered are: • Multiple Regression; Testing; Diagnostics (Mainly Revision) • Statistical Models, Likelihood, Sufficiency • Exponential Family • Asymptotic Theory, Saddlepoint Approximations • Theory of Hypothesis Testing, Neyman-Pearson Lemma • Empirical Likelihood • Multivariate Linear Models (SUR, SEM) • Identification
High-Level econometric Theory based firmly in Statistical Theory
Learning and Teaching
|Total study time||200|
Resources & Reading list
Asymptotic Techniques for use in Statistics.
Other course information available via blackboard.
Inference and Asymptotics.
Elements of Modern Asymptotic theory with Statistical Applications.
Statistical Foundations for Econometric Techniques.
Assessment is by three hour written examination at the end of Semester 1. Summative Referral: 100% Examination
|Exam (3 hours)||100%|
Repeat type: Internal & External