"I have reached the stage where I no longer wish to have certainty."
Franz Kafka
Franz Kafka
Announcements
Course Description
This course is intended to be an introduction to
specification, estimation, prediction, and evaluation of econometric
models. After a brief review of
some aspects of the single equation linear model we will consider
systems of linear equations, instrumental variable estimation, and
simultaneous equation models. The focus will then shift to
nonlinear models and we will study: nonlinear least-squares,
discrete choice models, censored regression models and
survival/duration models. The last segment of the course will
treat semi-parametric methods including method of moments, quantile
regression, and (perhaps) simulation estimation. Throughout we will try
to emphasize the essential interplay between econometric theory and
economic applications.