# Econ 627: Econometric Theory II

PhD Econometrics, *UBC*, 2019

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

# Lecture notes

- Review of GMM for linear models
- Simultaneous equations I: Definitions and identification
- Simultaneous equations II: Multiple-equation GMM, 3SLS
- Simultaneous equations III: FIML
- Simultaneous equations IV: LIML
- Weak IVs
- Stationarity, ergodicity, weak dependence
- Linear regression with weakly dependent data
- Linear processes I: Wold decomposition
- Linear processes II: Spectral density, lag operator, ARMA
- Linear processes III: Asymptotic results
- Unit root, weak convergence, FCLT
- Spurious regression, testing for unit root
- Model selection with BIC
- Quantile regression