IKE 604E - Advanced Econometrics

Course Objectives

The objectives of this course consist of the followings.
1. Students will understand the link between econometric analysis and economic theory.
2. Students will master the foundations of the limited dependent variable models.
3. Students will master treatment evaluation.
4. Students will explore the Bayesian estimation approach to the regression models.

Course Description

This course is the second part of the graduate-level econometrics
sequence. In this course, we will cover the following topics: (i) limited dependent variables
models (probit, logit, multinomial logit models, multinomial probit model, ordered probit
model, Tobit model, sample selection model, and count data models), (ii) estimation of
treatment effects (estimation via regression, propensity score approach, and estimation via
matching), and (iii) Bayesian estimation approach (normal regression with conjugate priors
and normal regression with independent priors). We will strike a balance between theory
and application.