This module is designed to provide a rigorous training in econometric theory in order to enable students to develop and apply advanced econometric knowledge and skills. It is strongly maths-based and covers advanced material. Topics covered in the first part of the module include: Maximum Likelihood Estimation in general; properties of the score, information, efficiency, consistency, asymptotic distributions. Tests based on MLE: Likelihood ratio, Wald and Lagrange Multiplier. In the second part of the module, stationary and non-stationary time series, unit root testing and cointegration, GARCH models are discussed.
|