Economics 627 Econometric Theory II


Syllabus


Lecture Notes:

Vector and Matrix Differentiation (updated: September 22, 2009)

LECTURE 1: Review of GMM for Linear Models (updated: January 7, 2016)

LECTURE 2: Simultaneous equations I: definition, identification, indirect LS, single-equation GMM (updated: February 4, 2014)

LECTURE 3: Simultaneous equations II: multiple-equation GMM, 3SLS (updated: February 4, 2014)

LECTURE 4: Simultaneous equations III: FIML (updated: March 3, 2010)

LECTURE 5: Simultaneous equations IV: LIML (updated: January 21, 2009)

LECTURE 6: Extremum estimators: Consistency and asymptotic normality (will be distributed in class)

LECTURE 7: Stationarity, ergodicity and weak dependence (updated: April 6, 2016)

LECTURE 8: Linear regression with weakly dependent data (updated: April 6, 2016)

LECTURE 9: Linear processes I: Wold decomposition (updated: April 17, 2009)

LECTURE 10: Linear processes II: spectral density, lag operator, ARMA (updated: May 2, 2011)

LECTURE 11: Linear processes III: asymptotic results (updated: April 17, 2009)

LECTURE 12: Unit root, weak convergence, functional CLT (updated: March 29, 2006)

LECTURE 13: Spurious regression, testing for unit root (updated: April 19, 2007)


Assignments:



Practice Questions: