Simon Fraser University
Engaging the World

Course Outlines

Spring 2025 - ECON 838 G100

Econometric Theory II (4)

Class Number: 1929

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 6 – Apr 9, 2025: Wed, 12:30–3:20 p.m.
    Burnaby

  • Prerequisites:

    ECON 837.

Description

CALENDAR DESCRIPTION:

Covers the core tools of theoretical and applied econometrics including time series, cross sectional, and panel data methods. Topics may include multiple linear regression, instrumental variables, GMM, limited dependent variable models, ARMA models, unit roots/cointegration, fixed/random effects, hypothesis testing, program evaluation, nonlinear regression, semi/non-parametric methods, big data and ML methods.

COURSE DETAILS:

Develops the core tools of theoretical and applied econometrics including limited dependent variable models, program evaluation, nonparametric and semiparametric estimation, panel data methods and big data/machine learning methods.

Topics: Covered topics will include:
1.Limited dependent variable models (probit, logit, tobit and selection models)
2.Program evaluation (RCT, natural experiments, matching, instrumental variablemodels, regression discontinuity design, and control function methods)
3.Generalized method of moment
4.Nonparametric and semiparametric estimation (kernel density estimator,conditional mean function estimator, maximum score estimator and more)
5.Panel data methods (static and dynamic panel models)
6.Big data/machine learning (LASSO, regression trees and random forest)

Grading

  • Midterm Exam 40%
  • Final Exam 60%

Materials

REQUIRED READING:

Wooldridge, 2010, “Econometric Analysis of Cross Section and Panel Data, Second Edition”, Hansen, 2022, “Econometrics”

RECOMMENDED READING:

Li and Racine, 2023, “Nonparametric Econometrics”, Angrist and Pischke, 2009, “Mostly Harmless Econometrics”

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

RELIGIOUS ACCOMMODATION

Students with a faith background who may need accommodations during the term are encouraged to assess their needs as soon as possible and review the Multifaith religious accommodations website. The page outlines ways they begin working toward an accommodation and ensure solutions can be reached in a timely fashion.