Econ5150 @ CUHK

2024 Spring

This repository hosts lecture notes and code.

Textbooks

• Hansen (2021): Probability and Statistics for Economists [PS]
• Hansen (2021): Econometrics [E]

Topics

As a sequel to ECON5120, this course will cover advanced theoretical topics in econometric theory.

• Part I: Extremum estimator

  • Asymptotic theory I ([PS] ch.7, 8, 9; [E] ch.6)
  • Asymptotic theory II ([PS] ch.9, 18)
  • Extremum estimator ([E] ch.22)
  • Maximum likelihood ([PS] ch.10)
  • Generalized method of moments ([E] ch.13)
  • Quantile regressions ([E] ch.24)
  • Numerical optimization ([PS] ch.12)

• Part II: Time series

  • Time dependence and asymptotics ([E] ch.14)
  • ARMA models ([E] ch.14)
  • Time series regressions ([E] ch.14)
  • VAR models ([E] ch.15)
  • Unit roots ([E] ch.16)

Prerequisites

• ECON5120

Environment

provides an interactive environment for IPython notebooks.

Quotations

孙子兵法·始计篇:夫未战而庙算胜者，得算多也；未战而庙算不胜者，得算少也。多算胜，少算不胜，而况于无算乎？吾以此观之，胜负见矣。