Simon Fraser University
Engaging the World

Course Outlines

Fall 2017 - ECON 835 G100

Econometrics (4)

Class Number: 2604

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 5 – Dec 4, 2017: Mon, 9:30–11:20 a.m.
    Burnaby

    Sep 5 – Dec 4, 2017: Wed, 9:30–10:20 a.m.
    Burnaby

  • Prerequisites:

    ECON 435 and ECON 798.

Description

CALENDAR DESCRIPTION:

An introduction to econometric theory. Applications of econometric methods to both time series and cross-section data. Offered once a year.

COURSE DETAILS:

This is an introductory graduate level course in econometrics, and introduces students to the fundamental theory underlying econometric practice.  


Topics:

1.   Probability and random variables
2.   Models and identification
3.   Causal and structural models
4.   Estimation and finite sample inference
5    Asymptotics
6    Linear regression models
7.   Maximum likelihood and discrete choice models
8.   Time series analysis
9.   IV/GMM
10.  Panel data models

Grading

  • Assignments 10%
  • Midterm 40%
  • Final 50%

Materials

REQUIRED READING:

Russell Davidson and James G. MacKinnon, Econometric Theory and Methods.  Oxford University Press, 2003. ISBN: 9780195123722. 

Joshua D. Angrist and Jorn-Steffen Pischke, Mostly Harmless Econometrics: An Empiricist’s Companion.  Princeton University Press, 2008.  ISBN: 978-0691120355.

Graduate Studies Notes:

Important dates and deadlines for graduate students are found here: http://www.sfu.ca/dean-gradstudies/current/important_dates/guidelines.html. The deadline to drop a course with a 100% refund is the end of week 2. The deadline to drop with no notation on your transcript is the end of week 3.

Registrar Notes:

SFU’s Academic Integrity web site http://students.sfu.ca/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating.  Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the University community.  Academic dishonesty, in whatever form, is ultimately destructive of the values of the University. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the University. http://www.sfu.ca/policies/gazette/student/s10-01.html

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS