| Course ID: | ECON 8120. 3 hours. |
| Course Title: | Econometrics II |
Course
Description: | The theoretical properties of maximum likelihood estimators and their use in overcoming shortcomings of the classical linear model. Computer algorithms are developed and used to compute maximum-likelihood estimators for logit, probit, tobit, sample-selectivity, and failure time models. |
| Oasis Title: | ECONOMETRICS II |
| Prerequisite: | ECON 8080 |
Semester Course
Offered: | Offered every year. |
| Grading System: | A-F (Traditional) |
|
| Course Objectives: | The course will cover a number of important areas related to the theory and
estimation of maximum likelihood models: small-sample and asymptotic properties,
computer algorithms, qualitative and limited dependent variables, duration analysis,
and non-parametric estimation. Students will use TSP for software. |
| Topical Outline: | Small and Large Sample Properties of Ordinary Least Squares and Generalized Method
of Moments
Properties of Maximum Likelihood Estimators and Maximum Likelihood Methods
Algorithms
Transformations to Normality and Duration Models
Qualitative and Limited Dependent Variables
Semiparametric Models |