ETC4400 - Econometric theory

Leader: Professor Don Poskitt

Offered

Clayton First semester 2007 (Day)

Synopsis

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.

Objectives

The learning objectives of this unit are to:

• build upon existing concepts developed in previous courses and to outline the basic principles under-lying what has become known as the Generalized Method of Moments (GMM);
• outline the classical Method of Moments and relationship of Regression to the Method of Moments;
• discuss Identification and Asymptotic Distribution Theory in the context of the GMM;
• examine GMM in relation to minimum variance unbiased estimation, and GMM based inference;
• consider special cases of single equation and simultaneous equations GMM.

Assessment

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

Contact hours

Two 1.5-hour lectures per week

Prerequisites

ETC3400