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ETC4400 - Econometric theory

6 points, SCA Band 2, 0.125 EFTSL

Undergraduate, Postgraduate Faculty of Business and Economics

Leader: Professor Don Poskitt


Clayton First semester 2007 (Day)


The objective of this unit is to outline the general principles that underlie what has become known as the Generalized Method of Moments (GMM). The discussion is motivated by reference to econometric and statistical techniques, and simple practical examples with which students should be familiar. It is shown that GMM finds application in many areas of econometrics and business statistics, and that GMM may be viewed as a methodology that encompasses many econometric and statistical techiniques. Broad topic headings are: Classical Method of Moments and Regression (OLS and IV), GMM, Identification, Asymptotic Distribution Theory for GMM, GMM and Optimal Inference.


The learning objectives of this unit are to:


Written assignments: 40%
Examination (2 hours): 60%

Contact hours

Two 1.5-hour lectures per week