316-470 Econometric Techniques

Students may not gain credit for both 316-470 Econometric Techniques and 316-678 Econometric Techniques.

316-317 Econometrics or permission of lecturer.

This subject introduces appropriate estimation and inference techniques for models that involve a single equation and those involving systems of equations. Normally topics will include asymtotic theory, maximum likelihood estimation, classical testing procedures, generalised least squares estimation, seemingly unrelated regression models, stochastic regressors, instrumental variables, generalised methods of moments, simultaneous equations models (including VARs) and model-selection procedures.

• High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking; synthesis of data and other information; evaluation of data and other information; use of computer software; accessing data and other information from a range of sources; receptiveness to alternative ideas.

• Some level of development: collaborative learning; team work.

A 3-hour end-of-semester examination (70%) and class assignments up to 40 pages (30%).

• M Verbeek, A Guide to Modern Econometrics. Wiley.
  or
  W H Greene, Econometric Analysis. (5th edn), Prentice-Hall.