Advanced Econometrics (IEE.B 405)
First quarter 2021
Description
This course is designed for 1st year graduate students and is taught in English. The course aims to present and illustrate the theory and techniques of modern econometric analysis. The first part begins with reviews of the conditional expectation and least square regression. The second part introduces the large sample asymptotics. The third part applies the large sample asymptotics to the least squares. The final part introduces concepts of endogeneity.
Prerequisites
The course prerequisites are Econometrics I (level: IEE 200) and Econometrics II (level: IEE 300). I strongly recommended Introductory Courses in Statistics and Probability (level: IEE 200) as the prerequisite. Students should be familiar with basic concepts in probability and statistical inference. Familiarity with matrix algebra is preferred.
Indicative reading
Bruce E. Hansen, Econometrics, University of Wisconsin, 2021
Assessment
Assignments (problem solving): 30\%. Final: 70\%. The assignments will be graded by the teaching assistant.
Language
English