2.0

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Nonlinear Econometrics introduces advanced econometric tools needed to analyze financial data and build sophisticated nonlinear financial models. This is an advanced class requiring strong foundations in multivariate calculus, matrix algebra, probability and statistics as prerequisites. Linear Econometrics is also a pre-requisite. The course will cover methods of asymptotic (i.e., large-sample) inference in extremum (nonlinear) modeling. Among them, particular emphasis is placed on the generalized method of moments and maximum likelihood estimation. Simulation-based methods, like the simulated method-of-moments and indirect inference, will also be studied.