Econometric Methods III

Catalog description

This course covers more advanced methods in conventional econometrics. It contrasts nonparametric and semiparametric methods with more conventional nonlinear parametric econometric models. It covers nonparametric density and regression estimators, discrete and continuous semiparametric models, nonlinear parametric methods, GMM, simulated GMM, and other advanced parametric models, including simple machine learning models. An emphasis is placed on computation, including essential numerical and optimization techniques used in econometrics. Applications in different fields (e.g., finance, economics, marketing, accounting) are considered throughout. The instructor also will explore the difference between predictive and structural econometric models.