M.Phil. - Advanced Econometrics
Introduction
The objective of the course is to provide students with a thorough coverage of modern econometrics, such that they can potentially develop substantive new empirical findings and theoretical results.
The program varies with faculty research interests but generally includes: Modelling and methodology; Distribution theory for stationary and non-stationary processes; Simulation based methods; Finite sample theory; Theory of reduction; Modelling dynamic systems; Testing, encompassing, and exogeneity; Panel data analysis; Limited dependent variables; Sample-selection problems; Non-parametric methods; and Structural estimation. Applications may include consumption, demand analysis, investment, money demand, housing, financial and labour markets.
Taught on the MPhil in Economics
Further Information
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