ECO2401H1S Econometrics II (PhD)This course develops the conventional econometric tools of the applied economist. Subjects covered include general least squares and its application (e.g. heteroscedasticity, autocorrelation, multivariate regression, mixed estimation), ARCH and GARCH models, asymptotic distribution theory, models where right hand side variables are correlated with residuals (e.g. errors in variables, simultaneity), GMM estimation, simultaneous equation models, basic elements of time series analysis (ARIMA and VAR models, cointegration), duration data and hazard function models and panel data models. Additional topics which may be covered include an introduction to the bootstrap and limited dependent variable models.
Section L0101, Winter 2014–15Instructors: Adonis Yatchew, Victor Aguirregabiria [course website]
Day/time: M 11-1, W 11-1
Location: M(WW120), W-Jan14 only(GE106), W(WO20)
TA: Mathieu Marcoux