Level of study Third/Final year
Credit value 10
Pre-requisite modules None
Other pre-requisites None
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.