ECON 506 ECONOMETRICS

Microeconometrics

1. Introduction to Cross-sectional and Panel Data Analysis:

   • panel data models

   • first difference estimator

2. Fixed Effect and Random Effects Models

3. Limited Dependent Variable Models:

   • probit

   • logit

   • bivariate probit

   • multinomial logit models

4. Method of Simulated Maximum Likelihood

5. Model Selection:

   • two-step estimator

   • Heckman model selection

Time Series / Macroeconometrics

1. Time Series Econometrics:

   • testing for stationarity

2. Multivariate and Single Equation Cointegration Analysis and the Estimation of Error Correction Models

3. Structural Breaks

4. VAR Models

5. ARIMA and GARCH Models

6. Introduction to Macroeconometric Model Building

7. Introduction to Forecasting and Simulations