This Ph.D.-level course is the second in a two-quarter sequence with Business 41901. The central topic is statistical inference using asymptotic approximations. We will cover linear regression models, generalized method of moments, time series. Time permitting; we will discuss factor models.

Business 41901

Three recommended texts are Econometrics by Hayashi, Econometric Analysis of Cross Section and Panel Data by Wooldridge, and Time Series Analysis by Hamilton. Asymptotic Theory for Econometricians (Revised Edition) by White provides a useful and concise reference on asymptotic results.

Based on homework assignments and an in-class final exam. Cannot be taken pass/fail. No provisional grades.