My notes for the second part of the PhD Econometrics sequence.

Lecture notes

1. Review of GMM for linear models
2. Simultaneous equations I: Definitions and identification
3. Simultaneous equations II: Multiple-equation GMM, 3SLS
4. Simultaneous equations III: FIML
5. Simultaneous equations IV: LIML
6. Weak IVs
7. Stationarity, ergodicity, weak dependence
8. Linear regression with weakly dependent data
9. Linear processes I: Wold decomposition
10. Linear processes II: Spectral density, lag operator, ARMA
11. Linear processes III: Asymptotic results
12. Unit root, weak convergence, FCLT
13. Spurious regression, testing for unit root
14. Model selection with BIC
15. Quantile regression