## Course Details

Country:
Spain

Institution:
Universidad Carlos III de Madrid

Course Title:
Advanced Econometrics

Course Number:
13685

Course Description:
1. Finite sample properties of ordinary least squares (OLS): The classical regression model. The algebra of least squares. Finite sample properties of OLS. Hypothesis testing under normality. Relation to maximum likelihood. Generalized least squares. 2. Large sample theory: Review of limit theorems for sequences of random variables. Fundamental concepts in time-series analysis. Large-sample distribution of the OLS estimator. Hypothesis testing. Consistent estimation of the asymptotic variance of OLS estimators. Implications of conditional homoscedasticity. Testing conditional homoscedasticity. Least squares projection. Consistent estimates of projection coefficients. Testing for lack of autocorrelation. 3. Single-equation generalized method of moments (GMM): Endogeneity bias. The general formulation. Generalized method of moments defined. Large sample properties of GMM. Testing overidentified restrictions. Hypothesis testing by likelihood-ratio principle. Implications of conditional homoscedasticity. 4. Multiple-equations GMM: The multiple-equations model. Multiple-equation GMM defined. Large sample theory. Single-equation versus multiple-equations estimation. Special cases of multiple equations GMM: FIVE, 3SLS and SUR. Common

Language:
English

Approved Equivalent:
ECON 3--

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