Published Nov 21, 2022
The course provides a rigorous treatment of more advanced topics in econometrics. They include system of equations, simultaneous equations, generalized method of moments, empirical likelihood, vector autoregression and dynamic models, time series models and methods, discrete dependent variables, and limited dependent variables.
Prereq: ECON 621
This course is the second in a series of graduate-level econometrics courses. We will cover the asymptotic theory behind results that you have used in previous econometrics courses and discuss specialized models that can be used to analyze a variety of topics relevant to empirical work in economics.
| Understand asymptotic theory that is commonly used to analyze the behaviour of statistical estimators |
| Analyze the asymptotic properties of generalized method of moments and M-estimators |
| Conduct analysis specific to time-series and panel data |
| Understand the asymptotic distribution of basic nonparametric estimators |
Asymptotic theory in the linear model (2 week)
Instrumental variables and generalized method of moments (2 weeks)
M-estimators (2 weeks)
Time-series and dynamic regression models (2 weeks)
Panel data models (2 weeks)
Nonparametric methods (2 weeks)
If there is any extra time, we will discuss model selection via penalized regression methods.
| Title / Name | Notes / Comments | Required |
|---|---|---|
| Econometrics | Text by Bruce Hansen | No |
The text is optional but highly recommended.
| Component | Value |
|---|---|
| Homework assignments | 60% |
| First exam | 20% |
| Second exam | 20% |
No assignment screening will be used in this course.
Academic integrity: In order to maintain a culture of academic integrity, members of the University of Waterloo community are expected to promote honesty, trust, fairness, respect and responsibility. [Check the Office of Academic Integrity for more information.]
Grievance: A student who believes that a decision affecting some aspect of their university life has been unfair or unreasonable may have grounds for initiating a grievance. Read Policy 70, Student Petitions and Grievances, Section 4. When in doubt, please be certain to contact the department’s administrative assistant who will provide further assistance.
Discipline: A student is expected to know what constitutes academic integrity to avoid committing an academic offence, and to take responsibility for their actions. [Check the Office of Academic Integrity for more information.] A student who is unsure whether an action constitutes an offence, or who needs help in learning how to avoid offences (e.g., plagiarism, cheating) or about “rules” for group work/collaboration should seek guidance from the course instructor, academic advisor, or the undergraduate associate dean. For information on categories of offences and types of penalties, students should refer to Policy 71, Student Discipline. For typical penalties, check Guidelines for the Assessment of Penalties.
Appeals: A decision made or penalty imposed under Policy 70, Student Petitions and Grievances (other than a petition) or Policy 71, Student Discipline may be appealed if there is a ground. A student who believes they have a ground for an appeal should refer to Policy 72, Student Appeals.
Note for students with disabilities: AccessAbility Services, located in Needles Hall, Room 1401, collaborates with all academic departments to arrange appropriate accommodations for students with disabilities without compromising the academic integrity of the curriculum. If you require academic accommodations to lessen the impact of your disability, please register with AccessAbility Services at the beginning of each academic term.
Turnitin.com: Text matching software (Turnitin®) may be used to screen assignments in this course. Turnitin® is used to verify that all materials and sources in assignments are documented. Students' submissions are stored on a U.S. server, therefore students must be given an alternative (e.g., scaffolded assignment or annotated bibliography), if they are concerned about their privacy and/or security. Students will be given due notice, in the first week of the term and/or at the time assignment details are provided, about arrangements and alternatives for the use of Turnitin in this course.
It is the responsibility of the student to notify the instructor if they, in the first week of term or at the time assignment details are provided, wish to submit alternate assignment.