Tepper School of Business

 

 

ECONOMETRICS II

 

                                                                                                                                     

                                                                                                                                     Professor Robert A. Miller  ramiller@cmu.edu  

 

                                                                                                                                     Teaching Assistant

Minhyuk Nam minhyukn@andrew.cmu.edu

 

 

SYLLABUS

 

 

A.    INTRODUCTION TO STRUCTURAL ECONOMETRIC MODELS

 

 

Monday October 19:             Continuous Choices

 

Wednesday October 21:        Discrete Choices

 

Friday October 23:               Tutorial on Assignment 1

 

Monday October 26:             Principal Agent Models

 

Wednesday October 28:        Counterfactuals

 

Friday October 30:               Assignment 1 is due

                                               Tutorial on Assignment 2

 

 

B.    SMOOTHING THE DATA

Monday  November 2:            Linear Models

 

Wednesday  November 4:       Nonlinear Parametric Smoothing

 

Friday  November 6:              Assignment 2 due

                                               Tutorial on Assignment 3

 

Monday November 9:             Nonparametric Methods

 

 

 

C.    PROBABILITY  

 

 

Wednesday  November 11:    Probability and Convergence

 

Friday November 13:            Assignment 3 is due

                                              Tutorial on Assignment 4

 

Monday November 16:          Laws of Large Numbers and Central Limit Theorems

 

 

         

 

D.    ASYMPTOTIC THEORY FOR PARAMETRIC MODELS   

 

 

Wednesday November 18:     Large Sample Properties of Extremum Estimators

 

Friday November 20:            Assignment 4 is due

 

Monday November 23:          Asymptotic Efficiency

                                          

Monday November 30:          Testing Parametric Models

 

 

 

E.    WRAPPING UP  

 

 

Wednesday December 2:      In class examination

 

Friday December 4:             Tutorial on Assignment 5

                                             

Wednesday December 9:      Assignment 5 plus examination rewrite are due