GECO

6181

Graduate Econometrics

New School for Social Research: Economics

Liberal Arts

Graduate Course

Degree Students (with Restrictions)

Graduate Econometrics

Spring 2020

Taught By: Jamee Moudud

Section: A

CRN: 2582

Credits: 3

This course will involve a detailed understanding of the mechanics, advantages, and the limits/limitations of the “classical” linear regression model. Where relevant, questions of methodology will be discussed. The first part of the course will cover the theoretical and applied statistical principles which underlie Ordinary Lest Squares (OLS) regression techniques. This part will cover the assumptions needed to obtain the Best Linear Unbiased Estimates of a regression equation – also known as the “BLUE” conditions. Particular emphasis will be placed on the assumptions regarding the distribution of a model’s error term and other BLUE conditions. We will also cover hypothesis testing, sample selection, and the critical role of the t and F-statistic in determining the statistical significance of an econometric model and its associated slope or “b” parameters. The second part of the course will address the three main problems associated with the violation of a particular BLUE assumption: multicollinearity, autocorrelation, and heteroscedasticity. We will learn how to identify, address, and (hopefully) remedy each of these problems. In addition, we will take a similar approach to understanding and correcting model specification errors. The third part of the course will focus on the econometrics of time-series models including Granger causality, error-correction models, and co-integration.

College: New School for Social Research (GF)

Department: Economics (GECO)

Campus: New York City (GV)

Course Format: Lecture (L)

Max Enrollment: 25

Enrollment Status: Open*

*Enrollment status information is updated every five minutes. The status of this course may have changed since the last update. Open seats may have restrictions that will prevent some students from registering. Updated: 1:30am 8/20/2019

Meeting Info:

Days: Thursday

Times: 6:00pm - 7:50pm

Building: TBD

Room: TBD

Date Range: 1/23/2020 - 5/7/2020

Days: Friday

Times: 4:00pm - 5:50pm

Building: TBD

Room: TBD

Date Range: 1/24/2020 - 5/8/2020