Econometric Theory

Department of Economics, Business School

College of Social Sciences


Code 03163

Level of study Third/Final year

Credit value 10

Semester 1

Pre-requisite modules None

Other pre-requisites None

Module description

Weeks 1 to 6 cover: Maximum Likelihood Estimation in general; properties of the score, information, efficiency, consistency, asymptotic distributions. Tests based on MLE: Likelihood ratio, Wald and Lagrange Multiplier. Weeks 7 to 11 introduce stationary and non-stationary time series, unit root testing and cointegration. GARCH Models.

Teaching and learning methods

1 x lecture, 1 x class per week