Course Syllabus

Lectures and Discussions

Lecture: M-W 1:30PM -- 3:20PM, in KGH1410

Discussions: F 9:00AM -- 10:50AM (in KGH 3301 & KGH 1410)

Instructor I: Ivan A. Canay

Office: 3353 Kellogg Global Hub

Office Hours: M 3:30PM -- 5:00PM in KGH 3353 

phone: 847-491-2929

e-mail: iacanay@northwestern.edu

Website: https://ivancanay.com/

Instructor II: Federico A. Bugni

Office: 3423 Kellogg Global Hub

Office Hours: TBD

phone: 847-491-

e-mail: federico.bugni@northwestern.edu

Website: https://sites.northwestern.edu/federicobugni/

Teaching Assistant: Gui Exel

Office hours: M 11:00AM -- 1:00PM in KGH 3198

e-email: gexel@u.northwestern.edu

Teaching Assistant: Hongchang Guo

Office hours: T 11:30AM -- 1:30PM in KGH 3198

e-email: hongchangguo2028@u.northwestern.edu

Course Description

This course is the first quarter of the first-year graduate econometrics sequence. It develops the probability and statistical tools used throughout modern econometric theory. The first half covers conditional expectations, modes of convergence, laws of large numbers, continuous mapping results, central limit theorems, the delta method, and the foundations of asymptotic inference. Particular attention is given to understanding how these tools are used, the assumptions that justify them, and the distinction between pointwise and uniform approximations. The second half applies this foundation to the identification, consistency, and asymptotic distribution of estimators defined by optimization or estimating equations. Topics include extremum and M-estimation, maximum likelihood, minimum-distance estimation, generalized method of moments, hypothesis testing, and confidence regions. Throughout the course, formal results are connected to familiar examples such as sample means, regression, and treatment-effect estimation. The goal is to equip students with the large-sample tools needed to understand and develop econometric methods in the remainder of the graduate sequence and in their own research.

Grading

The class grade consists on problem sets (submitted via Canvas), a first midterm exam on Monday October 26th (in class), and a second midterm exam on Monday December 7th at 9:00AM. The weighting scheme for the final grade will be as follows:

Discussions

Recording Live Lectures

Unauthorized student recording of classroom or other academic activities (including advising sessions or office hours) is prohibited. Unauthorized recording is unethical and may also be a violation of University policy and state law. Students requesting the use of assistive technology as an accommodation should contact AccessibleNU. Unauthorized use of classroom recordings — including distributing or posting them — is also prohibited.  Under the University’s Copyright Policy, faculty own the copyright to instructional materials — including those resources created specifically for the purposes of instruction, such as syllabi, lectures and lecture notes, and presentations.  Students cannot copy, reproduce, display or distribute these materials. Students who engage in unauthorized recording, unauthorized use of a recording or unauthorized distribution of instructional materials will be referred to the appropriate University office for follow-up.

Other Important Information

Rules on the problem sets, discussion on the software we will use, and some information about computer research support are available in the PDF version of the syllabus. You should take a look at that. Finally,  The specifics of this course syllabus are subject to change in the case of unforeseen circumstances. I will notify students of any changes as soon as possible. Students will be responsible for abiding by the changes. In addition, you should note that Northwestern has expectations for all students taking classes.