Econometrics Review Course

Econometric Review Course is a 20 hours long course. I am teaching half of the course; the other half is taught by Marco Lippi.

In my part I will focus on the specification and estimation of the linear regression model. The course departs from the standard Gauss-Markov assumptions to include heteroskedasticity, serial correlation, and errors in variables. Advanced topics include generalized least squares, instrumental variables, generalized method of moments, limited dependent variable models, and panel data.

Textbook

• Cameron, A. C., & Trivedi, P. K. (2005). Microeconometrics: methods and applications. Cambridge university press.

• Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data. MIT press.

• White, H. (2001). Asymptotic theory for econometricians. Academic press.

Useful papers

• Newey, W. K., & McFadden, D. (1994). Large sample estimation and hypothesis testing. Handbook of econometrics, 4, 2111-2245.

• Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the Econometric Society, 1029-1054.