Ph.D. Econometrics Sequence
The following describes the Economics and Agricultural and
Ph.D. Econometrics courses.
Fall: 239 Econometrics
Winter: 240A Econometrics Methods I
Spring: 240B Econometrics Methods II
Fall: 240D Cross-section Econometrics
Winter: 240C Time Series Econometrics
Spring: 240E Topics in Time Series Econometrics
Winter: 240F Topics in Cross-Section Econometrics
[Note the reversal in ordering: 240D is usually taught the quarter before 240C.]
For Economics students taking the econometrics field, the field
240C, 240D and one of 240E/240F with grades of B+ or higher.
239 Richard Green (Fall)
240A Colin Cameron (Winter)
240B To be determined (Spring)
240C Aaron Smith (Winter)
240D Shu Shen (Fall)
240E Not taught
240F Colin Cameron (Spring)
239 Econometric Foundations
Lecture—3 hours; discussion—1 hour. Prerequisite: undergraduate statistics.
Statistical foundations for econometrics.
240A. Econometric Methods I
Lecture—3 hours; discussion—1 hour. Prerequisite: Economics 290 and a course in linear algebra or the equivalent.
Least squares, instrumental variables, and maximum likelihood estimation and inference for single equation linear regression model; finite sample and large sample theory; linear restrictions; heteroskedasticity; autocorrelation.
240B. Econometric Methods II
Lecture—3 hours; discussion—1 hour. Prerequisite: course 240A.
Maximum likelihood estimation and testing, nonlinear least squares, systems of equations, simultaneous equation models, introductory time series regression.
240C. Time Series Econometrics
Lecture—3 hours; discussion—1 hour. Prerequisite: course 240B. (Usually taught after 240D).
Probability theory; estimation, inference and forecasting of time series models; trends and non-standard asymptotic theory; vector time series methods and cointegration; time series models for higher order moments and transition data; state-space modeling and the Kalman filter.
240D. Cross Section Econometrics
Lecture – 3 hours; discussion – 1 hour. Prerequisite: course 240B. (Usually taught before 240C).
Estimation and inference for nonlinear regression models for cross-section data; models for discrete data and for limited dependent variables; models for panel data; additional topics such as bootstrap and semiparametric regression.
240E. Topics in Time Series Econometrics
Lecture—3 hours; discussion—1 hour. Prerequisite: courses 240A and 240B.
Modern econometric techniques for time series data. Expand on topics covered in Economics 240A, 240B, and 240C. Contents may vary from year to year.
240F. Topics in Cross Section Econometrics
Lecture—3 hours; discussion—1 hour. Prerequisite: courses 240A, 240B and 240D.
Modern econometric techniques for cross-section data. Expand on topics covered in Economics 240A, 240B, and 240D. Contents may vary from year to year.