Instructor: Alberto Holly (HEC - Université de Lausanne)

The purpose of the course is to increase students’ knowledge in Advanced Econometrics by deepening some of the topics that they may have learned earlier, or by introducing new concepts. Students should be able, to better understand the theoretical basis of advanced estimation ad hypothesis testing procedures proposed in the recent literature. They should also be able to prove the statistical properties of the estimators or testing procedure that they may develop for their PhD Thesis.

Syllabus

Introduction

Lecture 1, Appendix 1, Appendix 2, Appendix 3, Appendix 4, Appendix 5

Lecture 2, Appendix 1, Appendix 2, Appendix 3

Lecture 3

Lecture 4

Lecture 5

Lecture 6

Lecture 7

Lecture 8

Lecture 9 - part I, Lecture 9 - part II, Appendix 1, Appendix 2, Appendix 3, Appendix 4

Lecture 10

Lecture 11 - part I

Additional documents: Reading 1, Reading 2, Reading 3, Reading 4, Reading 5, Reading 6, Reading 7, Reading 8