Econometrics · Course 01

Calendar

Theory, estimation, identification and applications — from projection geometry to causal research design.

One lecture session per week. Problem sets are due one week after the sessions they cover; see Assignments and Exams.

Ses #TopicMain deliverable
Part I · Linear regression and inference
1From Probability to the Linear Regression ModelOLS derivation and projection geometry
2OLS Inference: Sampling Distributions, Hypothesis Tests, and Confidence Intervalst/F/Wald inference exercise
3Functional Form, Partial Effects, and Omitted-Variable BiasMarginal-effect and bias analysis
4Heteroskedasticity, Dependence, and Robust InferenceCovariance estimator comparison
Part II · Endogeneity and identification
5Endogeneity, Instrumental Variables, and Two-Stage Least SquaresInstrument validity memo
6Simultaneous Equations and Structural IdentificationIdentification conditions exercise
Part III · Panel data
7Panel Data: Fixed Effects, Random Effects, and Correlated EffectsFE/RE comparison
8Dynamic Panels, Difference GMM, and System GMMGMM moment-condition defense
Part IV · Time-series econometrics
9Time-Series Foundations: Stationarity, ARMA, and ForecastingStationarity and ARMA lab
10Unit Roots, Structural Breaks, and PersistenceDeterministic specification report
11VAR and Structural VAR: Dynamic Interactions and Shock IdentificationIRF and identification report
12Cointegration, VECM, and ARDL ModelsVECM/ARDL comparison
Part V · Causal inference and research practice
13Causal Inference: Potential Outcomes, DiD, and Regression DiscontinuityDiD/RD design memo
14Research Design, Monte Carlo, Replication, and ReportingReproducible empirical presentation