316-470 Econometric Techniques

Coordinator:

Prerequisite/s:

Timetable:

Contact:

Objectives:

On completion of this subject students should be able to:

• understand asymptotic theory as it applies to estimation and inference;

• apply estimation and inference techniques appropriate for systems of equations;

• conduct non-linear estimation;

• apply maximum likelihood techniques;

• estimate equations and test hypotheses using panel data;

• apply classical testing procedures;

• apply nested and non-nested tests of model specification;

• extend their knowledge of econometric techniques via independent study and by taking advanced subjects.

Content:

Appropriate estimation and inference techniques for models that involve a single equation and those involving systems of equations. Topics will include: asymptotic theory, maximum likelihood estimation, classical testing procedures, generalised least squares estimation, seemingly unrelated regression models, stochastic regressors, instrumental variables, simultaneous equations models and model-selection procedures.

Assessment:

Prescribed Texts:

• Judge G C and Griffiths W G et. al., Introduction to the Theory and Practice of Econometrics, 2nd ed., Wiley.
  or
  Greene W, Econometric Analysis, Macmillan.