在坛内看到有坛友上传2013年的VAR, SVAR and VECM models 课件, 是波士顿大学的应用计量经济学课程(EC 823) 课件的其中一章. 我就在网上搜了一下, 找到了2014年春季的课程课件全套链接, 大家各取所需. (文件都不大, 就没有上传到论坛,点击Lecture Notes的各个链接即可下载pdf)

以下内容转引自: http://fmwww.bc.edu/ec-c/S2014/823/EC823.S2014.phpEC 823 Applied EconometricsSpring 2014, Prof. Baum
Downloadable Syllabus (pdf)Correction: Class will not meet Wednesday 2 April, and will meet Monday 7 AprilResearch Paper requirementsLecture Notes (pdf):

• Simulation for estimation and testing
• IV and IV-GMM
• Testing for autocorrelation
• Cluster-robust covariance matrix computation
• IV with heteroskedasticity-based instruments
• Nonparametric density estimation
• Quantile regression
• Dynamic panel data models | Bond, Guide to Dynamic Panel Data Models | Roodman, How to do xtabond2
• Generalized linear models
• Multilevel mixed models
• ARIMA and ARFIMA models
• ARCH and MGARCH models
• VAR, SVAR and VECM models
• Additional time-series models
• Nichols, Causal inference with observational data
• Propensity scores, regression discontinuity, limited dependent variables
• Binary choice models with endogenous regressors
  

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