Econometrics

This course exposes students to common econometric techniques that economists use to estimate, test, and forecast relationships between variables in economics and finance. We cover applied econometrics and selective intermediate theory. Students will apply theory to empirical problems using economic and financial data in class and in assignments using the statistical programming language R and the RStudio IDE.

Volatility forecasts from a GARCH model

Students learn the programming language R

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Course overview

This course exposes students to common econometric techniques that economists use to estimate, test, and forecast relationships between variables in economics and finance. We cover applied econometrics and selective intermediate theory. Students will apply theory to empirical problems using economic and financial data in class and in assignments using the language R and RStudio.

Course Objectives

1. Understand intermediate econometric theory.
2. Understand the approaches to econometric methodology.
3. Learn to apply theory appropriately to empirical problems.
4. Learn to teach yourself new econometric techniques via replication.
5. Become competent using R and associated tools for applied econometrics.