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MGTECON 604: Econometric Methods II

Second course in the PhD sequence in econometrics at the Economics Department (as Econ 271) and at the GSB (as MGTECON 604). This course presents modern econometric methods with a focus on regression. Among the topics covered are: linear regression and its interpretation, robust inference, asymptotic theory for maximum-likelihood und other extremum estimators, generalized method of moments, Bayesian regression, high-dimensional and non-parametric regression, binary and multinomial discrete choice, resampling methods, linear time-series models, and state-space models. As a prerequisite, this course assumes working knowledge of probability theory and statistics as covered in Econ 270/ MGTECON 603.
Terms: Win | Units: 4
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