ECON 7202 - Advanced Econometrics V

In this course we study advanced micro and time series econometrics topics that are not covered in Econometrics IV and Advanced Time Series Econometrics IV or those topics discussed in these two courses in more detail. Topics can include bootstrap, generalized method of moment (GMM), empirical likelihood (EL), instrument variables (IV) estimation, maximum likelihood estimation (MLE), panel data methods (basic models, dynamic panel model, panel model with limited dependent variable), limited dependent variable models, sample selection corrections, duration model, autoregressive conditional heteroscedasticity (ARCH), generalized ARCH (GARCH), Kalman filter, regime switching model, stochastic calculus, diffusion models, and financial economics.