Overview

Description

CALENDAR DESCRIPTION:

Develops the core tools of theoretical and applied econometrics including time series, cross sectional, and panel data methods. Topics may include limited dependent variable models, GMM, instrumental variables, ARMA models, unit roots and cointegration, fixed and random effects, incidental parameters, testing, program evaluation, nonlinear regression, semi- and nonparametric methods.

COURSE DETAILS:

The purpose of this course is to develop a working knowledge of the core tools of econometrics (including Ordinary Least Squares, Maximum Likelihood and Generalized Method of Moments). The course is both theoretical and applied, and it covers standard time series, cross sectional, and panel data methods. We will study the theoretical properties of these procedures, will learn how to use them for estimation and inference, and how to test model assumptions.  

To conduct empirical analysis, we will use the software MATLAB.

COURSE-LEVEL EDUCATIONAL GOALS:

Topics:  

Covered topics will include:

• generalized method of moments estimation, including instrumental variables estimation;
• maximum likelihood estimation as applied to limited dependent variable model (logit, probit, censored data, truncated data…);
• time series models (ARMA models, unit roots and cointegration);
• panel data (fixed and random effects, incidental parameters);  

Additional topics may include:

• misspecification;
• testing (Wald tests, F-tests, trinity of ML tests, overidentification tests);
• nonlinear regression methods, including semi- and nonparametric methods

Grading

Materials

RECOMMENDED READING: