Introduces the Generalized Method of Moments (GMM), a versatile approach for estimation based on moment restrictions, with applications in asset pricing models.
Covers the basics of linear regression, including OLS, heteroskedasticity, autocorrelation, instrumental variables, Maximum Likelihood Estimation, time series analysis, and practical advice.
Introduces the FIN-403 Econometrics course, emphasizing practical application of standard econometric models like Ordinary Least Squares (OLS) in economic and financial contexts.
Explores the consistency and asymptotic properties of the Maximum Likelihood Estimator, including challenges in proving its consistency and constructing MLE-like estimators.