• Vadim Marmer
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    Vadim Marmer

    Vadim Marmer

    Professor of Economics, UBC

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    Econ 627: Econometric Theory II

    PhD Econometrics, UBC, 2019

     

    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

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