Economics
 

Advanced Econometrics

Advanced Econometrics
Theory and practice of formulating, estimating, and analyzing economic models.
ECON
588
 Hours3.0 Credit, 3.0 Lecture, 0.0 Lab
 PrerequisitesECON 388
 TaughtWinter
 ProgramsContaining ECON 588
Course Outcomes: 

Econ 588

  1. Demonstrate a familiarity with the properties and applications of several families of statistical distributions to econometric problems.
  2. Demonstrate an understanding of variations and generalizations of the basic regression model including

Generalized least squares

Generalized autoregressive conditional heteroskedasticity models

Instrumental variables

Seemingly unrelated regression models

Panel data

Hausman specification tests.

  1. Demonstrate an understanding of estimation frameworks in econometric models including

Parametric, semiparametric, and non parametric specifications

Maximum likelihood, M-, generalized method of moments, kernel, empirical likelihood, and extremum estimation.

  1. Formulate and estimate various nonlinear models.
  2. Identify and estimate autoregressive integrated moving average (ARIMA) models and obtain forecasts of economic variables.
  3. Demonstrate an understanding of dynamic (and static) structural econometric models including being able to discuss

Reduced form, structural, and transfer function representations

The identification problem

Issues of estimation and statistical inference

Vector autoregression models.

  1. Complete a research project in which they formulate a research question, apply appropriate methods to answer the question, and prepare a paper summarizing their results.