Econometrics

 

Courses:

ECON 721: Econometrics III (ECON 624 or permission of department)
This course is oriented towards macro-econometric methods. Topics covered in this course will be selected from the following: Further discussion of topics covered in ECON 624, 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, and stochastic volatility models), rational expectations models, non-stationary panel data models, tests for structural change, Bayesian econometrics and methods for Bayesian computation.

ECON 722: Econometrics IV (ECON 624 or permission of department)
This course is oriented towards micro-econometric methods. Topics covered in this course will be selected from the following: Further discussion of topics from ECON 624, 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, non-parametric estimation, bootstrap and jackknife methods, pre-test estimators.

 

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.

Average Grade of B+ or better in courses.

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.