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Topics in Advanced 计量经济学
概述
CEA CAPA 合作伙伴机构: Universidad Carlos III de 马德里
地点: 马德里,西班牙
Primary Subject Area: 经济学
指令: 英语
课程代码: 14119
记录来源: 合作伙伴机构
课程详细信息: 300、400级
Recommended Semester Credits: 3
联系时间: 42
先决条件: This course is designed for students with a strong background in econometrics and statistics acquired in previous courses: Mathematics for 经济学 I and II, 统计一及二, 计量经济学, Econometric Techniques and Quantitative 经济学.
描述
1. Finite sample properties of ordinary least squares (OLS): The classical regression model. The algebra of least squares. Finite sample properties of OLS. 假设检验 under normality. Relation to maximum likelihood. Generalized least squares.
2. 大样本理论: Review of limit theorems for sequences of random variables. Fundamental concepts in time-series analysis. Large-sample distribution of the OLS estimator. 假设检验. Consistent estimation of the asymptotic variance of OLS estimators. Implications of conditional homoscedasticity. Testing conditional homoscedasticity. Least squares projection. Consistent estimates of projection coefficients. Testing for lack of autocorrelation.
3. Single-equation generalized method of moments (GMM): Endogeneity bias. The general formulation. Generalized method of moments defined. Large sample properties of GMM. Testing overidentified restrictions. 假设检验 by likelihood-ratio principle. Implications of conditional homoscedasticity.
4. Multiple-equations GMM: The multiple-equations model. Multiple-equation GMM defined. 大样本理论. Single-equation versus multiple-equations estimation. Special cases of multiple equations GMM: FIVE, 3SLS and SUR. 常见的系数.
2. 大样本理论: Review of limit theorems for sequences of random variables. Fundamental concepts in time-series analysis. Large-sample distribution of the OLS estimator. 假设检验. Consistent estimation of the asymptotic variance of OLS estimators. Implications of conditional homoscedasticity. Testing conditional homoscedasticity. Least squares projection. Consistent estimates of projection coefficients. Testing for lack of autocorrelation.
3. Single-equation generalized method of moments (GMM): Endogeneity bias. The general formulation. Generalized method of moments defined. Large sample properties of GMM. Testing overidentified restrictions. 假设检验 by likelihood-ratio principle. Implications of conditional homoscedasticity.
4. Multiple-equations GMM: The multiple-equations model. Multiple-equation GMM defined. 大样本理论. Single-equation versus multiple-equations estimation. Special cases of multiple equations GMM: FIVE, 3SLS and SUR. 常见的系数.
