Econometric Methods III

This course completes the first-year sequence in econometrics. It covers conventional parametric methods that MGTECON 604 did not have time to cover in any detail. This includes GMM, simulated GMM, nonlinear least squares problems generally, and an introduction to some machine learning methods such as neural nets. The course the covers numerical and optimization methods used to estimate these models, as well as simulation techniques. The latter half of the course focuses on semiparametric and nonparametric methods. Applications in different fields (e.g., finance, economics, marketing, accounting) are considered throughout.