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

GC profile default image

Deborah Balk

Professor

  • Sociology

Professor

  • Economics

Professor

  • Quantitative Methods in the Social Sciences
Tao Wang - Associate Professor -  profile photo

Tao Wang

Associate Professor

  • Economics
Liuren Wu - Wollman Distinguished Professor of Finance -  profile photo

Liuren Wu

Wollman Distinguished Professor of Finance

  • Economics

Professor

  • Business