ETC4340 - Principles of econometrics
6 points, SCA Band 3, 0.125 EFTSL
Undergraduate, Postgraduate Faculty of Business and Economics
Leader(s): Associate Professor Gael Martin
Clayton Second semester 2009 (Day)
This unit provides a formal treatment of the core principles underlying econometric and statistical analysis, with particular focus given to likelihood-based inference. Topics covered include the likelihood principle and maximum likelihood estimation; minimum variance unbiased estimation; maximum likelihood asymptotic distribution theory; likelihood-based hypothesis testing; and quasi-maximum likelihood inference. The theoretical developments are supplemented by numerical results produced using computer simulation. Consideration is also given to the numerical optimisation techniques used to implement likelihood-based procedures in practice.
The learning goals associated with this unit are to:
- consolidate the core principles underlying econometric and statistical analysis
- understand and implement the technique of maximum likelihood estimation and develop an appreciation of the associated asymptotic distribution theory
- understand and implement likelihood-based hypothesis testing and quasi-maximum
- develop the skills needed to demonstrate and explore theoretical sampling properties using computer simulation.
Within semester assessment: 40%
Examination (2 hours): 60%
Two 1-hour lectures and one 2-hour tutorial per week