Topics covered include asymptotic theory, maximum likelihood and generalized method of moments estimation, nonlinear and specification tests, and numerically methods. Students develop their own computer code to implement the latest estimation and testing methodologies. A research paper utilizing these techniques is required to complete the course. Topics include panel data analysis and models with discrete or limited dependent variables. This course focuses on econometric methods for nonlinear models with particular emphasis on models estimated in the time domain.
Emphasis is placed on understanding the intuition behind the estimation techniques and tests.
Students study how recent econometric methods have been applied in the literature to address various economic issues. The course requires students to develop their own computer programs to implement the techniques and to produce an original piece of applied econometric research. It begins with a review of the typical transition path that countries follow as they move from extreme poverty to moderate income levels. In addition to standard models from the endogenous growth literature, theories of the industrialization process are considered. Throughout, analytical models are juxtaposed with empirical evidence on their relevance.