Applied Econometrics 
Econ 508 - Fall 2014

Professor: Roger Koenker 

TA: Nicolas Bottan 

"I have reached the stage where I no longer wish to have certainty."
Franz Kafka


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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.