# Fall 2022 - ECON 835 G100

## Overview

• #### Course Times + Location:

Fr 3:30 PM – 6:20 PM
WMC 3611, Burnaby

• #### Instructor:

Serena Canaan
scanaan@sfu.ca
1 778 782-5376
• #### 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

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

## Materials

We will use selected chapters from:

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

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

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.