Course Details

Course Number: 90-907

Econometric Theory and Methods

Units: 12

This course covers a number of econometric models and techniques that are commonly used in applied microeconomics.

The core topics are discrete choice models, sample selection (and related limited dependent variable or switching models), panel data, including dynamic panel models, and duration models, as well as an overview of methods to estimate treatment effects, and a section on variance estimation. Nonparametric and semiparametric techniques will be discussed with each topic, in addition to more common methods.

The course is designed for PhD students who have completed their first-year econometrics sequence.

Learning Objectives:

Understand the fundamental properties of M-estimators and kernel estimators, both
formally and intuitively

Formulate appropriate econometric models for specific applications within the classes of data covered by the course, addressing issues of endogeneity and error correlation

Derive properties of the estimators based on the above models

Apply these estimators to data provided as part of course assignments

Syllabus

Faculty:
Akshaya Jha