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Advanced Econometric Theory - ECON4202
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Science students
 
Faculty: Faculty of Business
 
 
School:  School of Economics
 
 
Course Outline: http://www.economics.unsw.edu.au/
 
 
Campus: Kensington Campus
 
 
Career: Undergraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.125 (more info)
 
 
Contact Hours per Week: 3
 
 
Enrolment Requirements:
 
 
Prerequisite: ECON3203
 
 
Fee Band: 2 (more info)
 
 
Further Information: See Class Timetable
 
 

Description

This course focuses on some theoretical aspects of economic time series and cross-sectional data analysis. Topics for the time series part include: stationary and non-stationary processes; unit root tests; VAR and cointegrated VAR models; cointegration tests; estimation and testing in the presence of unit roots. Topics for the cross-section data part include: fixed effect models; random effect models, unbalanced panels; dynamic models and estimation in the presence of autocorrelation; heteroscedasticity and unit roots.

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