Home

_________________________________________________________________________

 

 

Advanced Econometrics II, Part II

Master in Economics and Finance,  Winter 2021

Barcelona GSE

 

 

 

  • Writing tips (Cochrane)

  • Hayashi 's Econometrics book

  • Wooldridge's Econometrics book

  • Bruce Hansen's Econometrics book

 

 

 

Week 1

 

 

Slides

 

 

Readings and more:

 

 

 

 

Week 2

 

 

Slides

Problemsets

 

Readings:

  • Chapter 6, Hayashi

  • Two good books on Time Series Analysis (see references to specific chapters in the notes):

  • Hamilton
  • Brockwell and Davis

 

 

 

Week 3

 

 

Slides

 

Problemsets

 

Readings:

  • Hayashi, Chapter 4 [Multiple equation GMM}

 

 

 

 

 

 

Week 4

 

 

Slides

 

Problemsets

 

Readings:

  • Wooldridge, chapters 7 and 8