ECON7003
ECON7003
ADVANCED ECONOMETRICS
ADVANCED ECONOMETRICS
ECON 7003- (MA) - Fall Term Course
This course introduces students to the basics of econometrics, equips them with practical skills using EViews, STATA, and R and provides the foundation to apply econometric methods in research articles and master’s theses. The course emphasizes both theoretical understanding and empirical applications, ensuring students gain hands-on experience with real datasets.
Class Hours: FRI. 9.30-11.30
Class: TBA
Suggested Reading List
James D. Hamilton - Time Series Analysis
James Davidson - Econometric Theory
Jeffrey M. Wooldridge - Econometric analysis of cross section and panel data
A. Colin Cameron and Pravin K. Trivedi - Microeconometrics Methods and Applications
Suggested Websites
https://www.ssc.wisc.edu/~bhansen/econometrics/
Schedule 2026-2027*
Week 01 (Oct.2): Introduction to Econometrics + Introduction to Eviews
Week 02 (Oct.9): Classical Linear Regression Model + Introduction to STATA + Introduction to R
Week 03 (Oct.16): Multiple Regression + Applications
Week 04 (Oct.23): Violating the Assumptions of the CLRM - I + Applications
Week 05 (Oct.30): Violating the Assumptions of the CLRM - II + Applications
Week 06 (Nov.6) - Dummy Variables and Categorical Data + Applications
Week 07 (Nov. 13) - Introduction to Time-Series Econometrics + Applications
midterm
Week 08 (Nov. 27) - Cointegration and Error-Correction Models + Applications
Week 09 (Dec. 4) - VAR and System Estimation Methods + Applications
Week 10 (Dec. 11) - Instrumental Variable Methods + Applications
Week 11 (Dec. 18) - Nonlinear Models + Applications
Week 12 (Dec. 25) - Introduction to Panel Data Models + Applications
Extra: Overleaf
Midterm&Final will be HW in applications
* There may be minor changes in the schedule.