The course main objective is to provide students with a solid grasp of the probabilistic and statistical underpinnings of the most common econometric techniques. The topics studied will be of practical use to any student who plans on confronting data in their thesis or wishes to read and precisely understand the econometrics typically used in empirical research published in academic journals. The recommended software package is Julia.
Econometric theory has two parts. The first part focuses on the specification and estimation of the linear regression models and its extensions. The second part focuses on the theory and the applications of time series methods in econometrics.