EC309
Econometric Theory
This information is for the 2011/12 session.
Teacher responsible
Dr M Seo, STC. S580 and Dr T Komarova, STC. S875. Availability
This course is for BSc Econometrics and Mathematical Economics, BSc Mathematics and Economics and MSc Econometrics and Mathematical Economics (Two Year Programme).
Pre-requisites
A knowledge of linear algebra, calculus and statistical theory is required. Students should have taken the course Principles of Econometrics (or equivalent). Course content
This course gives an introduction to the asymptotic theory of estimation and inference of economic models; Basics of large sample theory; Estimation of linear regression models (OLS, GMM, GLS); Testing hypotheses and model specifications; Estimation of nonlinear models (MLE, Nonlinear least squares); systems of equations; time series analysis.
Teaching
Lectures EC309: 20 MT and LT.
Classes EC309.A: 20 Sessional.
Formative coursework
Written answers to set problems will be expected on a weekly basis. Indicative reading
The main text for the lectures is R Davidson & J G MacKinnon, Econometric Theory and Methods,Oxford University Press (2004). Other useful texts include Davidson (2000), Econometric Theory Amemiya (1985), Advanced Econometrics; and Hayashi (2000), Econometrics. Assessment
A three-hour written examination in the ST. The paper contains eight questions, of which four are to be answered.
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