ECO2401H1S Econometrics II (PhD) (Prerequisite: ECO2400H or ECO2408H)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 L9101, Winter 2020–21Instructor: Adonis Yatchew, Ismael Mourifié
Day/time: T9-11, R9-11
Delivery Method & Instructions: (Online Synchronous) Online synchronous: Lectures will be delivered online (livestreamed) at the scheduled time. All course activities, including office hours, will be conducted online.
TA: JoonHwan Cho