Advanced Econometric Theory - ECON6201


	Faculty: Australian School of Business
	School: School of Economics
	Course Outline: http://www.economics.unsw.edu.au/
	Campus: Kensington Campus
	Career: Postgraduate
	Units of Credit: 6
	EFTSL: 0.12500 (more info)
	Indicative Contact Hours per Week: 3
	Enrolment Requirements:
	Prerequisite: ECON6003
	Equivalent: ECON4202
	CSS Contribution Charge:Band 3 (more info)
	Tuition Fee:See Tuition Fee Schedule
	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 and heteroscedasticity.