Econometrics

ECON 721: Econometrics III
This course is oriented towards macro-econometric methods. Topics will be selected from the following: nonlinear time series models, exogeneity and causality, non-stationary time series models (unit roots, co-integration, error correction models, vector autoregressive models), econometric models of volatility (ARCH and GARCH models, stochastic volatility models), rational expectations models, non-stationary panel data models, tests for structural change, Bayesian econometrics and methods for Bayesian computation, and further discussion of macro econometric topics covered in first year econometrics sequence.

ECON 722: Econometrics IV
This course is oriented towards micro-econometric methods. Topics will be selected from the following: binary and multinomial response models, censored and truncated regression models, sample selection models, count data models, duration models, program evaluation and treatment effects methods, structural econometrics, the identification problem, stratified and clustered samples, spatial/cross sectional dependence models, dynamic panel data models, weak instruments, nonparametric estimation, bootstrap and jackknife methods, pre-test estimators, and further discussion of micro econometric topics covered in first year econometrics sequence.

Field Requirements in Econometrics

Major field: The "Major Field" requirement consists of three courses beyond the first year econometrics
requirements, as well as a field exam offered in January and June of each year. The three
courses would include Econometrics III or IV (or, as recommended, both). The remaining course
(or two courses) must be selected from the following: econometrics topics course to be selected
in consultation with the econometrics faculty (provided it is offered in that year); or either
Applied Micro Econometrics, Applied Macro Econometrics, Empirical Economic Modeling I or
II; or a course in another department to be selected in consultation with the econometrics faculty.
The field exam will be based on the material of Econometrics I, II, and either Econometrics III or
IV as specified by the student.

Minor field: The "Minor Field" requirements consist of two courses beyond the first year econometrics
requirements. At least one of these courses must be Econometrics III or IV. If only one of these
two courses is taken, the remaining course must be selected from the following: econometrics
topics course to be selected in consultation with the econometrics faculty (provided it is offered
in that year), Applied Micro Econometrics, Applied Macro Econometrics, Empirical Economic
Modeling I or II, or a course in another department to be selected in consultation with the
econometrics faculty. Student must earn an average grade of B+ or better in the two courses
beyond the first year courses, or pass the field exam.

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