units

ETC3400

Faculty of Business and Economics

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Monash University Handbook 2011 Undergraduate - Unit

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

LevelUndergraduate
FacultyFaculty of Business and Economics
OfferedClayton Second semester 2011 (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:

  1. consolidate the core principles underlying econometric and statistical analysis
  2. understand and implement the technique of maximum likelihood estimation and develop an appreciation of the associated asymptotic distribution theory
  3. understand and implement likelihood-based hypothesis testing and quasi-maximum
likelihood inference
  1. 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

4 hours per week

Prerequisites

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

Prohibitions

ETC4340