Econometrics II


This course extends the methods and techniques employed in Econometrics I to allow for causal inference and prediction in a larger variety of data sets. The overall objective is for the student to learn how to critically examine economic and financial data as well as empirical studies.

Course Outline

Data subject to endogeneity bias. Data collected in experiments and quasi-experiments. Data with binary dependent variables.Time series data (modeling and forecasting). Series data (estimation of causal effects). Time series data (cointegration and volatility clustering). Additional times series topics.

SlidesClass0, Class1, Class2, Class3, Class4, Class5

Reading and Videos List:

PDA&HStudy, CigarreteDemand


Hwk 1 : 


Introduction to Econometrics, 3rd Edition
James H. Stock and Mark W. Watson, Pearson.


``Introductory Econometrics: a Modern Approach'', Jeffrey M. Wooldridge. 2016.Cengage.
``Elements of Forecasting'', Francis X. Diebold. 2007. Cengage.