Advanced Econometrics 2 (ECOM-R315)

August 12, 2019

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Method of completion: remote teaching


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Study material:

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This course moves beyond the standard linear regression model and conventional least squares estimation. Important econometric estimation principles, such as generalized method of moments and maximum likelihood estimation, are covered and the related statistical inference procedures discussed. Basic concepts of simulation-based methods are also introduced. Specifically, the topics covered in the course include

  • Generalized method of moments estimation (basic concepts, asymptotic estimation theory, statistical inference)
  • Maximum likelihood estimation (basic concepts, asymptotic estimation theory, statistical inference)
  • Simulation methods (Monte Carlo simulations, Bootstrap)