__Ph.D. Econometrics Sequence__

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The following describes the Economics and Agricultural and
Resource
Economics

Ph.D. Econometrics courses**.**

Fall: 239 Econometrics
Foundations

Winter: 240A Econometrics Methods I

Spring: 240B Econometrics Methods II

Second year:

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.]

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**

Much of the second-year sequence is also necessary for applied thesis research,

even though the courses are not formally required.

Time-series is split into essentials (240C) and topics (240E).

Similarly cross-section is split into essentials (240D) and topics (240F).

For Economics students taking the econometrics field, the field
is
240C, 240D and one of 240E/240F with grades of B+ or higher.

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**

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)

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Course Descriptions

**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.

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**