Type of Credit: Required
Credit(s)
Number of Students
As a successor to Econometrics I, this course continues the discussion of core materials in modern econometric methods and theory. The topics covered are based mostly on linear models, including large-sample asymptotics and asymptotic theory of least squares, restricted estimation, hypothesis testing, instrumental variables (IV), the generalized method of moments (GMM), and nonparametric regression (if time permits). We will discuss the intuition and insights behind the theoretical results for their applications in practice. We will also communicate how econometric theory, methods, and applications interact.
能力項目說明
This is the second half of the econometrics sequence designed for first-year Economics PhD students. Master students are also welcome. The objective of this course is to provide a foundation for applied research in economics. The prerequisite is a fundamental knowledge of linear and matrix algebra, calculus, statistics, and econometrics at the undergraduate level. Participants are also assumed to have a knowledge of econometric theory at the level of Econ Master/PhD Econometrics I (or roughly Chapters 1-5 of Bruce Hansen's Econometrics).
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
Tentative course schedule:
Tentative course schedule:
W1 02/21: Course Introduction & Overview; Review of OLS Linear Regression (BH1-5)
W2 02/28: No Class
W3 03/06: Large-sample Asymptotics (BH6, CT-A, W3)
W4 03/13: Large-Sample Asymptotics (cont'd) & Asymptotic Theory of Least Squares (BH7, CT4.2-4, W4.1-2)
W5 03/20: Asymptotic Theory of Least Squares (BH7, CT4.2-4, W4.1-2)
W6 03/27: Restricted Estimation (BH8)
W7 04/03: No Class
W8 04/10: Hypothesis Testing (BH9, CT7)
W9 04/17: Midterm Exam
W10 04/24: Hypothesis Testing (cont'd)
W11 05/01: Instrumental Variables (BH12, CT4.7-9, W5.1-2)
W12 05/08: Instrumental Variables (cont'd)
W13 05/15: Generalized Method of Moments (BH13, CT6, W14.1-4)
W14 05/22: Generalized Method of Moments (cont'd)
W15 05/29: Nonparametric Regression (BH19)
W16 06/05: Final Exam
W17 06/12 & W18 06/19: Self-Study (No Class)
Notes: BH, CT, and W refer to the testbookds by Hansen, Cameron and Trivedi, and Wooldridge, respectively.
Class attendance and participation (10%)
Problem sets (30%): The problem sets will include both problem solving and computer tasks. The assignments will be reviewed in class if necessary. You are encouraged to form a study group with your classmates, but you must write up your own answers. Problem sets with identical answers will not be accepted.
The midterm (30%) and final (30%) exams. The midterm and final exams will be held on Wednesday, April 17 and Wednesday, June 5, respectively.
Required Textbook: This course will closely follow Bruce Hansen’s Econometrics (https://www.ssc.wisc.edu/~bhansen/econometrics/).
Optional Supplementary Textbooks:
| 書名 Book Title | 作者 Author | 出版年 Publish Year | 出版者 Publisher | ISBN | 館藏來源* | 備註 Note |
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