Statistics and Econometrics – MIT Curriculum
22 Jun 2011 Leave a Comment
in Economics, Eonometrics, Macroeconomics, Micro Economics
Statistics and Econometrics
This is a complete listing of all economics courses. Not all courses are offered each year.
Statistical Methods in Economics
Prereq: 18.02, permission of instructor
Introduction to probability and statistics as background for advanced econometrics and introduction to the linear regression model. Elements of probability theory; sampling theory; asymptotic approximations; decision-theory approach to statistical estimation focusing on regression, hypothesis testing; and maximum-likelihood methods. Simple and multiple regression, estimation and hypothesis testing. Illustrations from economics and application of these concepts to economic problems. Class size limited.
Econometrics I
Prereq: 14.381, permission of instructor
Regression analysis, focusing on departures from the standard Gauss-Markov assumptions, and simultaneous equations. Regression topics include heteroskedasticity, serial correlation, and errors in variables, generalized least squares, nonlinear regression, and limited dependent variable models. Covers identification and estimation of linear and nonlinear simultaneous equations models. Economic applications are discussed.
Time Series Analysis
Prereq: 14.382 or permission of instructor
Theory and application of time series methods in econometrics, including spectral analysis, estimation with stationary and non-stationary processes, VARs, factor models, unit roots, cointegration, estimation of DSGE models, Bayesian methods. Class size limited.
Nonlinear Econometric Analysis
Prereq: 14.382 or permission of instructor
Micro-econometric models, including large sample theory for estimation and hypothesis testing, generalized method of moments, estimation of censored and truncated specifications, quantile regression, structural estimation, nonparametric and semiparametric estimation, panel data, bootstrapping, and simulation methods. Methods illustrated with economic applications. Requires econometrics paper at the end of IAP. Class size limited.
Advanced Topics in Applied Econometrics
Prereq: 14.383
Focuses on recent developments in econometrics, especially structural estimation. Topics include nonseparable models, models of imperfect competition, auction models, duration models, and nonlinear panel data. Results illustrated with economic applications.
Consult W. Newey
Topics in Applied Econometrics
Prereq: 14.383
Covers topics in econometrics and empirical modeling that are likely to be useful to applied researchers working on cross-section and panel data applications.
Workshop in Economic Research
Prereq: 14.124 or 14.454
Can be repeated for credit
Develops research ability of students through intensive discussion of dissertation research as it proceeds, individual or group research projects, and critical appraisal of current reported research. Workshops divided into various fields, depending on interest and size.
