A graduate course in econometrics
This page provides updates, course problem sets and answers for the graduate course in econometrics which I am currently offering. To access the videos for this course visit the following playlist on youtube. I have added a few videos to this section, introducing first of all the matrix formulation of econometrics, then going through to derive ordinary least squares estimators, and examine their properties.
This course aims to cover the majority of topics encountered at graduate level in the subject of econometrics. The standard way of describing econometrics at this level is using linear algebra, and I shall use this formulation for this course. The topics which will be covered in this course are:
- The matrix form of econometrics
- OLS estimators in multivariate models
- GLS estimators
- SURE estimators
- Instrumental variables & two stage least squares
- Wald tests, LM tests
- ARCH & GARCH models
- Maximum Likelihood estimators
- Method of moments & GMM
- Panel data models: fixed effects & random effects
Problem sets and answers are currently being produced, but as soon as they are available I shall post them here.