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Handbook 1997 : Faculty of Economics and Commerce : Economics

316-317 Econometrics

Note:

The course is designed for students with a mathematical background and is a prerequisite for further subjects in econometrics. Students may not gain credit for this subject and 316-316 Basic Econometrics. This subject, or 316-316 Basic Econometrics, is one of the four subjects which students proceeding to an honours degree in economics are required to take in either the third or fourth year of their course.

Coordinator:

Dr J Lye

Prerequisite/s:

At least one of 316-201 Intermediate Macroeconomics and 316-202 Intermediate Microeconomics, and either 316-205 Introductory Econometrics or 619-202 Statistics.

Timetable:

Semester 1

Contact:

Two 1-hour lectures and a 90 minute tutorial/practice class a week

Objectives:

On completion of this subject students should be able to:

  • derive the main results of regression theory using matrix algebra;

  • apply the classical model of ordinary least squares to data sets drawn from economics and finance using single and multiple regression equations;

  • test hypotheses about the relationships between variables;

  • understand the consequences of any of the classical assumptions being violated and to test for such violations;

  • estimate models in the presence of non-classical errors and stochastic explanatory variables.

Content:

Selected topics in probability theory, statistical inference and matrix techniques. The classical linear regression model. Some specification problems (e. g. functional forms and omitted variables), data problems (e. g. multicollinearity) and error analysis (e. g autocorrelation and heteroskedasticity). Introduction to qualitative dependent variables and systems estimation. Applications to empirical problems in economics and finance.

Assessment:

A 2-hour examination (80%) and class assignments up to 40 pages in total (20%).

Prescribed Texts:

  • Maddala G. S., Introduction to Econometrics, 2nd ed..
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Handbook 1997 : Faculty of Economics and Commerce : Economics 
Status:                   OFFICIAL 1997
Last Modified:            Wednesday March 12 3:36 pm
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Email Enquiries:          Course_Information@registrar.unimelb.edu.au
Copyright © University of Melbourne 1997.