This is an advanced course on econometric theory. It will provide students with grounding in the theory that underpins many standard econometric methods.  It will stress fundamental ideas and general concepts so that students can draw connections between various methods presented in other courses, and learn to derive simple theoretical results from first principles and apply them to specific cases.

The course does not attempt to provide details on the theory behind all possible econometric models, but instead seeks to ensure that students gain sufficient skills to allow them to understand the key issues and hence to be able to read and understand advanced texts and journal articles on current research that they may come across in their future studies or research.

Upon successful completion of the requirements for this course, students will be able to:
• Understand and apply selected inferential methods
• Critically evaluate a range of articles in econometric theory
• Derive asymptotic or finite sample properties of specific estimators under various assumptions
• Evaluate the appropriateness of several alternative estimators in specific applications

Two assignments each worth 25%, and a final exam worth 50%.

Students taking this course are expected to commit at least 12 hours a week comprised of:

• 3 hours of lectures and,

• 1 hour of tutorial, and

• 8 hours of private study (at least).

• (Recommended and Optional) Study group to be organized by students, if they wish.

An honours degree in Economics with H2A or higher, or completion of a Graduate Diploma in Economics with an exit grade of Merit or better.

All students should know some calculus, and have some knowledge of linear algebra, matrix algebra, probability. Understanding of maximum likelihood, least squares, simple time series models, and simple cases of laws of large numbers and central limit theorems.

EMET8014 Fundamentals of Econometric Methods

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For further information please refer to course website