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Information
| Code | IEM1837 |
| Name | Asymptotic Theory I |
| Term | 2023-2024 Academic Year |
| Term | Fall and Spring |
| Duration (T+A) | 4-0 (T-A) (17 Week) |
| ECTS | 8 ECTS |
| National Credit | 4 National Credit |
| Teaching Language | Türkçe |
| Level | Doktora Dersi |
| Type | Normal |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. HÜSEYİN GÜLER |
| Course Instructor |
1 |
Course Goal / Objective
The aim of this course is to bring the knowledge of asymptotic properties of some estimators used frequently in econometrics.
Course Content
In this lesson, asypmtotic properties of estimators used in econometrics will be evaluated. Firstly, OLS estimator will be investigated for this purpose. Secondly, with the help of necessary limit theorems for asyptotic theory, asymptotic propoerties of OLS and GMM will be evaluated.
Course Precondition
None
Resources
Hayashi, F., Econometrics, Princeton University Press, 2000.
Notes
White, H., Asymptotic Theory for Econometricians, Elsevier, 1984
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Lists the finite-sample properties of OLS estimator |
| LO02 | Defines the necessary distribution for finite-sample hypothesis testing |
| LO03 | Obtains the maximum likelihood estimator |
| LO04 | Defines the generalized least squares estimator |
| LO05 | Discriminates between different convergence concepts |
| LO06 | Defines ergodic stationarity |
| LO07 | Obtains the asymptotic distribution of OLS estimator |
| LO08 | Defines how to test hypothesis with OLS for large-samples |
| LO09 | Determines the appopriate asymptotic distribution for autocorrelation tests |
| LO10 | Defines single-equation GMM estimator |
| LO11 | Lists asymptotic properties of GMM estimator |
| LO12 | Tests hypothesis with likelihood ratio statistic |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Identify an econometric problem and propose a new solution to it | 4 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Develops new knowledge using current concepts in Econometrics, Statistics and Operations Research | 5 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Explain for what purpose and how econometric methods are applied to other fields and disciplines | 3 |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Using her knowledge, brings original solutions to problems in Economics, Business Administration and other social sciences | 4 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Creates a new model using mathematics, statistics and econometrics knowledge to solve the problem encountered | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Interprets the results obtained from the most appropriate method to predict the model | 3 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Performs conceptual analysis to develop solutions to problems | |
| PLO08 | Beceriler - Bilişsel, Uygulamalı | Collects data on purpose | |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Synthesizes the information obtained by using different sources within the framework of academic rules in a field that does not research | |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Presents analysis results conveniently | |
| PLO11 | Beceriler - Bilişsel, Uygulamalı | Converts its findings into a master's thesis or a professional report in Turkish or a foreign language | |
| PLO12 | Beceriler - Bilişsel, Uygulamalı | It researches current approaches and methods to solve the problems it encounters and proposes new solutions | 3 |
| PLO13 | Beceriler - Bilişsel, Uygulamalı | Develops long-term plans and strategies using econometric and statistical methods | 4 |
| PLO14 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Performs self-study using knowledge of Econometrics, Statistics and Operations to solve a problem | |
| PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads the team by taking responsibility | |
| PLO16 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it constantly renews itself by following the current developments in the field of study | |
| PLO17 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses acquired knowledge in the field to determine the vision, aim, and goals for an organization/institution | |
| PLO18 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses a package program of Econometrics, Statistics, and Operation Research or writes a new code | |
| PLO19 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Interprets the feelings, thoughts and behaviors of the related persons correctly/expresses himself/herself correctly in written and verbal form | |
| PLO20 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values | |
| PLO21 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on economic and social events by following current issues |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | OLS estimator and its finite-sample sampling distribution | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 2 | Hypothesis testing with OLS estimator for finite-samples | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 3 | Relationship between OLS and maximum likelihood estimators | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 4 | Generalized least squares | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 5 | Limit theorems for sequences of random variables | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 6 | Fundamental concepts in time-series analysis: Ergodic stationarity | Refer to textbook | Öğretim Yöntemleri: Anlatım |
| 7 | Asymptotic properties of OLS estimator - 1 | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 8 | Mid-Term Exam | General review | Ölçme Yöntemleri: Yazılı Sınav |
| 9 | Asymptotic properties of OLS estimator - 2 | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 10 | Hypothesis testing with OLS estimator for large-samples | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 11 | Testing for serial correlation | Refer to textbook | Öğretim Yöntemleri: Anlatım |
| 12 | Generalized method of moments for single-equation generalized method of moments | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 13 | Asymptotic properties of generalized method of moments estimator - 1 | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 14 | Asymptotic properties of generalized method of moments estimator - 2 | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 15 | Hypothesis test wih likelihood ratio | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 16 | Term Exams | General review | Ölçme Yöntemleri: Yazılı Sınav |
| 17 | Term Exams | General review | Ölçme Yöntemleri: Yazılı Sınav |
Student Workload - ECTS
| Works | Number | Time (Hour) | Workload (Hour) |
|---|---|---|---|
| Course Related Works | |||
| Class Time (Exam weeks are excluded) | 14 | 4 | 56 |
| Out of Class Study (Preliminary Work, Practice) | 14 | 8 | 112 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 2 | 4 | 8 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 12 | 12 |
| Final Exam | 1 | 24 | 24 |
| Total Workload (Hour) | 212 | ||
| Total Workload / 25 (h) | 8,48 | ||
| ECTS | 8 ECTS | ||