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ECON 421 Econometric Theory
18 points. Not offered in 2009.
Overview
Introduces students to a set of principles and themes which unify
modern econometric theory, emphasising that a few broad principles
can be isolated as a basis for a unified approach to estimation
and hypothesis testing. The following topics will be covered, asymptotic
distribution theory, maximum likelihood estimation, likelihood ratio,
Wald and Lagrange multiplier testing procedures, ARIMA, VARs, model
selection procedures, and VECMs. Detailed examples of applications
of these procedures to real data will be emphasised.
Paper coordinator
Alfred Haug
Prerequisite
ECON 375
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