Econometric Theory II

This course begins with extensions of the linear model in several directions: (1) pre-determined but not exogenous regressors; (2) heteroskedasticity and serial correlation; (3) classical GLS; (4) instrumental variables and generalized method of movements estimators. Applications include simultaneous equation models, VARS and panel data. Estimation and inference in non-linear models are discussed. Applications include nonlinear least squares, discrete dependent variables (probit, logit, etc.), problems of censoring, truncation and sample selection, and models for duration data.