units

ETC3400

Faculty of Business and Economics

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Monash University Handbook 2010 Undergraduate - Unit

6 points, SCA Band 3, 0.125 EFTSL

LevelUndergraduate
FacultyFaculty of Business and Economics
OfferedClayton Second semester 2010 (Day)
Coordinator(s)Associate Professor Gael Martin

Synopsis

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.

Objectives

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
likelihood inference
  • develop the skills needed to demonstrate and explore theoretical sampling properties using computer simulation.

Assessment

Within semester assessment: 40%
Examination (2 hours): 60%

Chief examiner(s)

Gael Martin

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week

Prerequisites

Students must have passed ETC2400, ECC2410, ETC2410 or ETC3440 before undertaking this unit

Prohibitions

ETC4340