This is a second-year course in Econometrics, designed primarily to expose the student to the theory of maximum likelihood and to apply this theory toward estimation and inference in common microeconomic models. Other topics covered include the EM algorithm, quantile regression (via a problem set) and, time permitting, and introduction to nonparametric density and regression estimation.

A fair amount of the course involves MATLAB-based programming. Some experience with MATLAB is assumed, though we will (quickly) review the use of MATLAB in optimization problems.

It is hoped that the combination of theory and practice will help you as you begin thinking about (or in some cases have already begun) your dissertation research.

 

ANNOUNCEMENTS

Friday MATLAB Lab session Files

• Basic Matlab Commands
• Regression Likelihood Main, #1
• Regression Likelihood #1B
• Regression Likelihood Main #2
• Regression Likelihood #2B