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EC7087 Econometric Theory

This course is taught to postgraduate students. The principal texts for the course are POLLOCK Introductory Econometrics and POLLOCK Intermediate Econometrics, both of which are available on this web site.

At the end of the course, the material that has been taught will be summarised in a set of brief notes titled Econometric Topics. A wider selection of materials will be found under the heading of TOPICS IN ECONOMETRIC THEORY


The material appropriate to the course of 2011 is gathered below:

FILTERING MACROECONOMIC DATA

CONDITIONAL EXPECTATIONS

FACTORISING THE NORMAL DISTRIBUTION

ALGEBRAIC POLYNOMIALS

TRANSFER FUNCTIONS

FOURIER DECOMPOSITION OF A TIME SERIES

THE PARTITIONED REGRESSION MODEL

THE SPECTRAL ANALYSIS OF A STATIONARY STOCHASTIC PROCESS

COCHRANE'S THEOREM AND THE DECOMPOSITION OF A CHI SQUARE

FILTERS FOR ECONOMETRIC DATA

Econometric Theory, 2011: A Summary of the Course