Tentative course schedule:

W1 02/20: Course Introduction & Overview; Review of OLS Linear Regression (BH1-5)

W2 02/27: Review of OLS Linear Regression (BH1-5)

W3 03/06: Large-sample Asymptotics (BH6, CT-A, W3)

W4 03/13: Large-sample Asymptotics (cont'd) & Asymptotic Theory of Least Squares (BH7, CT4.2-4, W4.1-2)

W5 03/20: Asymptotic Theory of Least Squares (cont'd)

W6 03/27: Restricted Estimation (BH8)

W7 04/03: No Class

W8 04/10: Midterm Exam

W9 04/17: Hypothesis Testing (BH9, CT7)

W10 04/24: Hypothesis Testing (cont'd)

W11 05/01: Instrumental Variables (BH12, CT4.7-9, W5.1-2)

W12 05/08: Instrumental Variables (cont'd)

W13 05/15: Generalized Method of Moments (BH13, CT6, W14.1-4)

W14 05/22: Generalized Method of Moments (cont'd)

W15 05/29: Discrete Choice Models (if time permits) (BH 25-26)

W16 06/05: Final Exam

W17 06/12 & W18 06/19: Self-Study (No Class)

Notes: BH, CT, and W refer to the testbookds by Hansen, Cameron and Trivedi, and Wooldridge, respectively.

TBD.

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  Class attendance & participation (15%)

  
  


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  Problem sets (25%): The problem sets will include both problem solving and computer tasks. The assignments will be reviewed in class if necessary. You are encouraged to form a study group with your classmates, but you must write up your own answers. Problem sets with identical answers will not be accepted.

  
  


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  Midterm (30%) and final (30%) exams.

  
  

Required Textbook: This course will closely follow Bruce Hansen’s Econometrics (https://www.ssc.wisc.edu/~bhansen/econometrics/).

Optional Supplementary Textbooks:

• Econometrics, by Hayashi (Princeton University Press, 2000)


• Microeconometrics: Methods and Applications, by Cameron and Trivedi (Cambridge University Press, 2005) 


• Econometric Analysis of Cross Section and Panel Data, by J. M. Wooldridge, 2nd Edition (The MIT Press, 2010)