ETC4400

Econometric theory

(BUS)

Dr Gael Martin and Associate Professor Farshid Vahid

7 points + Two 1.5-hour lectures per week + First semester + Clayton + Prerequisite: ETC3400

Synopsis: 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; an introduction to Bayesian inference in econometrics, including the derivation of posterior densities based on both non-informative and informative priors and the derivation of posterior odds ratios; an introduction to large sample asymptotic theory and its application to the problem of consistent estimation of covariance matrices of simple estimators; generalised method of moments (GMM) estimation.

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