Econ 527: Econometric Methods

MA Econometrics, UBC, 2023


A graduate-level introduction to econometric theory. The main focus is the linear regression model. The course covers estimation and inference using ordinary least squares (OLS), generalized least squares (GLS), generalized method of moments (GMM) and instrumental variables (IV). It also covers maximum likelihood (ML) estimation of binary choice models (logit and probit), and some topics in time series.

Lecture notes

  1. Basics of probability
  2. Linear regression and OLS
  3. Geometry of OLS, partitioned regression, variance estimation, goodness of fit
  4. Confidence intervals
  5. Hypothesis testing
  6. Properties of the adjusted $R^2$, model misspecification, structural change, forecasts
  7. Large sample theory
  8. Large sample properties of OLS, asymptotic confidence intervals and hypothesis testing
  9. Heteroskedasticity and GLS
  10. Endogeneity and IVs
  11. GMM
  12. Efficient GMM, 2SLS, overidentifying restrictions
  13. Simultaneous equations
  14. MLE
  15. Probit and logit
  16. Time series