Monash University Business & Economics handbook 1995

Copyright © Monash University 1995
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ECM4400

Econometric theory

Professor Maxwell King, Dr Brett Inder and Dr Laszlo Matyas

Two 1.5 hour lectures per week * First semester * Clayton * Prequisite: ECM3400

Objectives On successful completion of this subject students will be familiar with the theoretical foundations of econometrics in the area of estimation, hypothesis testing and large sample asymptotics. Successful students can expect to be familiar with pre-testing and the use of external information for estimation and inference; be able to use the generalised method of moments and instrumental variable estimators; be familiar with the estimation of nonlinear models; have an appreciation of the role of the Neyman-Pearson Lemma in test construction; know how locally best, point optimal and invariant tests are constructed and be familiar with the theoretical foundations of unit root testing and cointegration analysis.

Synopsis This subject involves the study of advanced econometric theory. Topics may include the theory of hypothesis testing with reference to the linear model; an introduction to the theory of invariance and its use in hypothesis testing problems; model selection problems and techniques; large-sample asymptotics; co-integration and unit roots and estimation issues.

Assessment Written (6 fortnightly assignments): 40% * Examination (3 hours): 60%


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