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Applied Econometrics

This field extends the study of econometrics beyond the core of Econometrics I and II, with in-depth study of microeconometrics, macroeconometrics, panel econometrics, and spatial econometrics.
Among the topics to be studied are: 

  • Methods for causal inference
  • Randomized experiments
  • Difference-in-differences
  • Synthetic control methods
  • Regression discontinuity
  • Robust inference (resampling, clustering, randomization inference)
  • Instrumental variables methods in cross-section, time series, panel, and spatial contexts
  • Machine learning methods for classification and prediction
  • Time series analysis
  • Nonstationarity in time series and panel data
  • ARCH/GARCH and multivariate GARCH
  • Markov switching
  • VAR, SVAR, FAVAR, and cointegration
  • Dynamic factor models
  • Analysis of longitudinal (or panel) data
  • Dynamic panel data models
  • Discrete choice models in panel contexts
  • Spatial correlation
  • Spatial endogeneity and peer effects
  • SARAR
  • Network analysis: modeling geographic, economic and sociological linkages
  • Spatial panel models
  • Finite mixture models

Required Course Work

The field consists of four courses, of which students must choose two.  However, note that students must take either ECON 82300 or ECON 82400 as part of their general degree requirements; see [link to Requirements for Degree webpage].  Thus, if a student takes ECON 82300 to fulfill the general degree requirements, it becomes ineligible for the purpose of fulfilling the requirements for the Applied Econometrics, which leaves the student a choice of two of the remaining three courses.  Similarly, if a student takes ECON 82400 to fulfill the general degree requirements, it becomes ineligible for the purpose of fulfilling the requirements for the Applied Econometrics, which leaves the student a choice of two of the remaining three courses. 

ECON 82300, Applied Microeconometrics
ECON 82400, Applied Macroeconometrics
ECON 82800, Panel Econometrics
ECON 82900, Spatial Econometrics
 


Faculty Members and Areas of Research Interest

Temisan Agbeyegbe (Hunter), Financial Instruments, Econometrics
Deborah Balk (Baruch), Urban Economics, Spatial Economics
Prabal De (City College), Health and Development Economics
Partha Deb (Hunter), Health Economics, Econometrics
David Jaeger (Graduate Center), Labor Economics, Econometrics
Ted Joyce (Baruch), Economics of Health and Health Care Policy, Econometrics
Barry Kai-Fai Ma (Baruch), Microeconomics, Econometrics
Sebastiano Manzan (Baruch), Econometrics, Time Series, Forecasting
Francisco Penaranda (Queens), Asset Pricing, Protfolio Management
Sangeeta Pratap (Hunter), Macroeconomics, Econometrics
Suleyman Taspinar (Queens), Econometrics, Spatial Econometrics, Applied Econometrics, Urban Economics
Chu-Ping Vijverberg (College of Staten Island), Empirical Macro Economics, Income Inequality, Non-stationary Time Series Techniques, Production Function and Productivity Analysis
Wim Vijverberg (Graduate Center), Labor Economics; Econometrics; Development Economics; Small-scale Enterprises and Entrepreneurship
Chun Wang (Brooklyn), Time Series Econometrics, Applied Macroeconometrics
Tao Wang (Queens), Financial Economics, Applied Econometrics, International Finance and Macroeconomics
Liuren Wu (Baruch), Financial Economics, Monetary Economics, International Trade and Economics, Theoretical and Empirical Asset Pricing, Option Pricing, Term Structure Modeling, Credit Risk, Market Microstructure​


Last updated: May 3, 2019