23930 Econometrics 1
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Credit points: 6 cp
Subject level:
Postgraduate
Result type: Grade and marksThere are course requisites for this subject. See access conditions.
Description
This subject provides advanced econometrics at the doctorate level.
Subject learning objectives (SLOs)
| 1. | Advanced measure theory, probability theory and statistics, matrix algebra. |
|---|---|
| 2. | Statistical properties of linear regression and other estimators. Both finite sample and large sample. |
| 3. | Hypothesis testing |
Contribution to the development of graduate attributes
This subject introduces to students advanced probability theory and statistics, and econometric theory at the Ph.D. level. It rigorously goes through measure theory and probability theory. The course also provides advanced treatment of basic econometrics such as finite sample theory, asymptotic theory, and hypothesis testing. The models analysed in this subject include general linear regression model and other nonlinear models. It provides the foundation for subsequent courses in econometrics and empirical economics.
Teaching and learning strategies
The subject will be taught using a combination of lectures and tutorials, which may include computer lab sessions. Tutorial sessions will include instruction on the use of econometric software packages, such as STATA, MATLAB, etc.
Content (topics)
The content will be selected from the following areas:
- Advanced measure theory, probability theory and statistics, matrix algebra.
- Ordinary least squares, finite sample theory and hypothesis testing.
- Asymptotic theory.
- Instrumental variables, maximum likelihood and other estimators.
Assessment
Assessment task 1: Assignment (Individual)
| Objective(s): | This addresses subject learning objective(s): 1 and 3 |
|---|---|
| Weight: | 25% |
Assessment task 2: Assignment (Individual)
| Objective(s): | This addresses subject learning objective(s): 2 and 3 |
|---|---|
| Weight: | 25% |
Assessment task 3: Final examination (Individual)
| Objective(s): | This addresses subject learning objective(s): 1, 2 and 3 |
|---|---|
| Weight: | 50% |
Minimum requirements
Students must achieve at least 50% of the subject’s total marks.
Required texts
Lecture notes
Recommended texts
Econometrics by Fumio Hayashi, Princeton University Press.
Estimation and Inference in Econometrics by Davidson, R. and J.G. MacKinnon, Oxford University Press.
Econometric Analysis by William H. Greene, Prentice Hall.