GECO

6281

Advanced Econometrics I

New School for Social Research: Economics

Liberal Arts

Graduate Course

Majors Only

Advanced Econometrics I

Fall 2021

Taught By: Feridoon Koohi-Kamali and Amit Roy

Section: A

CRN: 11950

Credits: 3

This is a course of advanced econometrics covering Microeconometrics and Macroeconometrics Time-series based on a balance of theory, and lab class practice sessions; non-empirical practice on questions related to theory, and, especially, empirical applications. The emphasis of the course is on applied Econometrics, esp. on panel data analysis topics, though time permitting, some other topics are also examined. The first half of the course will focus on some key Microeconometric topics such as duration models, e.g. of unemployment; and those with discrete dependent variables; fixed and random effects models, dynamic models of panel data. The second half of the course will focus on testing and modeling non-stationary time series, and on variety of auto-regressive models, vector auto-regression and error correction; including models for panels with long time-series components. Students will learn how to test a model appropriate to the data and task at hand, to estimate a variety of models of cross-sectional, time series and panel data series, where appropriate, use the estimates to forecast the series, and evaluate the quality of the forecast prediction. All necessary revisions and practice sessions are conducted in the lab as well as recitation classes. This course relies on frequent computer-based sessions, so students must have access to the statistical software Stata 15 or 16 (available at the New School online link to Apps). Two meetings weekly: R: Class M: Lab

College: New School for Social Research (GF)

Department: Economics (GECO)

Campus: New York City (GV)

Course Format: Seminar (R)

Max Enrollment: 15

Add/Drop Deadline: September 13, 2021 (Monday)

Online Withdrawal Deadline: November 21, 2021 (Sunday)

Seats Available: Yes

Status: Open*

* 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: 8:17pm 6/13/2021 EDT

Meeting Info:

Days: Thursday

Times: 4:00pm - 5:50pm

Building: TBD

Room: TBD

Date Range: 9/2/2021 - 12/16/2021

Days: Friday

Times: 4:00pm - 5:50pm

Building: TBD

Room: TBD

Date Range: 9/3/2021 - 12/17/2021