Economics 627 Econometric Theory II

Syllabus

Lecture Notes:

Vector and Matrix Differentiation (updated: September 22, 2009)

LECTURE 1: Review of GMM for Linear Models (updated: May 2, 2011)

LECTURE 2: Simultaneous equations I: definition, identification, indirect LS, single-equation GMM (updated: January 18, 2011)

LECTURE 3: Simultaneous equations II: multiple-equation GMM, 3SLS (updated: January 29, 2007)

LECTURE 4: Simultaneous equations III: FIML (updated: March 3, 2010)

LECTURE 5: Simultaneous equations IV: LIML (updated: January 21, 2009)

LECTURE 6: Weak Instruments (updated: April 30, 2009)

LECTURE 7: Stationarity, ergodicity and weak dependence (updated: May 2, 2011)

LECTURE 8: Linear regression with weakly dependent data (updated: May 2, 2011)

LECTURE 9: Linear processes I: Wold decomposition (updated: April 17, 20099)

LECTURE 10: Linear processes II: spectral density, lag operator, ARMA (updated: May 2, 2011)

LECTURE 11: Linear processes III: asymptotic results (updated: April 17, 2009)

LECTURE 12: Unit root, weak convergence, functional CLT (updated: March 29, 2006)

LECTURE 13: Spurious regression, testing for unit root (updated: April 19, 2007)

LECTURE 14: Nonparametric kernel methods (updated: April 17, 2008)

Assignments
Assignment 1 due Monday January 17

Assignment 2 due Monday January 24

Assignment 3 due Monday January 31

Assignment 4 due Monday February 7
Assignment 5 due Monday February 21

Assignment 6 due Monday March 7 data.mat  ivnlreg.m  estn.m

[size=-2][size=-2]Assignment 7 due Monday March 14 data_fiml.mat
Assignment 8 due Monday March 21
Assignment 9 due Monday March 28
Assignment 10 due Monday April 4

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Practice Questions:

[url=http://faculty.arts.ubc.ca/vmarmer/econ627/627_midterm_08.pdf]2008 midterm
2009 midterm
2010 midterm

2011 midterm  Solution
2008 final

2009 final  Solution
2010 final Solution
Assignment 11