Econometric Theory II

This course begins with extensions of the linear model in several directions: (1) pre-determined but not exogenous regressors; (2) heteroskedasticity and serial correlation; (3) classical GLS; (4) instrumental variables and generalized method of moments estimators. Applications include simultaneous equation models, VARS and panel data. The second part of the course covers the bootstrap, nonparametric estimators, extremum estimators (including discrete choice models), and estimation of treatment effects.