Advanced Econometrics

AY2015/2016 Semester 1

This course presents some asymptotic theory and results relevant to econometric methods. Students are also introduced to some econometric models which have wide applications in economic analyses. Applications of these models will be demonstrated in hands-on computer lab sessions. The course begins with a discussion of large sample distribution theory which forms the basis for the likelihood ratio, Wald and LM tests procedures. Models for analyzing cross-section and time series data are discussed, followed by models for analyzing simultaneous relationships. Qualitative and limited dependent variables models are also introduced.