Simon Fraser University
Engaging the World

Course Outlines

Fall 2022 - ECON 835 G100

Econometrics (4)

Class Number: 3645

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 7 – Dec 6, 2022: Fri, 3:30–6:20 p.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:

Econ 835 serves as an introduction to graduate level econometrics. The aim of this course is to introduce students to fundamental econometric theory. Students are expected to become familiar with ordinary least squares estimation, finite and large sample properties of OLS estimator, hypothesis testing, maximum likelihood estimation, instrumental variables and generalized method of moments.

Students wishing to enroll in this course are expected to have basic knowledge of calculus, linear algebra and statistics. I will provide a basic review of linear algebra concepts that are going to be used in this course.

Topics:

The Conditional Expectation Function (CEF)                                                           

Ordinary Least Squares (OLS)                                                                                   

Finite Sample Properties of OLS estimator                                                                

Large Sample Properties of OLS estimator                                                        

Assumption of normality, Central Limit Theorem and hypothesis testing              

Midterm Exam                                                                                                                   

Maximum Likelihood Estimation (MLE)                                                     

Endogeneity                                                                                                       

Instrumental Variables (IV) and Generalized methods of moments (GMM)          

Instrumental Variables (IV) and Generalized methods of moments (GMM)        

Panel data                                                                                                        

 

Grading

  • Problem sets 15%
  • lecture attendance and participation 5%
  • Midterm 35%
  • Final Exam 45%

Materials

REQUIRED READING:

We will use selected chapters from:

Econometrics. Princeton University Press. Author: Bruce E. Hansen

The book can be found online for free here:

https://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf


REQUIRED READING NOTES:

Your personalized Course Material list, including digital and physical textbooks, are available through the SFU Bookstore website by simply entering your Computing ID at: shop.sfu.ca/course-materials/my-personalized-course-materials.

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:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

SFU’s Academic Integrity website http://www.sfu.ca/students/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