Simon Fraser University
Engaging the World

Course Outlines

Spring 2026 - ECON 838 G100

Econometric Theory II (4)

Class Number: 1823

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 5 – Apr 10, 2026: Wed, 2:00–5:00 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 variable models, regression discontinuity design, and control function methods)
  3. Generalized method of moments
  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

At SFU, you are expected to act honestly and responsibly in all your academic work. Cheating, plagiarism, or any other form of academic dishonesty harms your own learning, undermines the efforts of your classmates who pursue their studies honestly, and goes against the core values of the university.

To learn more about the academic disciplinary process and relevant academic supports, visit: 


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.