Econometrics

Our faculty have research interests in all the major fields of econometrics, and the department provides a rich training ground and finishing school for aspiring econometricians.  Over the past thirty years, the department has nurtured the development of more than 70 econometrics Ph.Ds, many of whom are now prominent econometricians working in universities, government agencies, or the financial industry.  

Yale faculty play leading editorial roles in the major econometrics journals. The journal Econometric Theory has been hosted at Yale since its establishment in 1985. Following its longstanding tradition of supporting research in quantitative economics, the Cowles Foundation provides a uniquely supportive environment for econometric work in all its modern manifestations from theory to practice and amidst its growing number of sub-disciplines from time series econometrics and financial econometrics through to microeconometrics and spatial econometrics. 

The Cowles Foundation funds a regular influx of short term and long term academic visitors, post-docs, and doctoral students from other institutes, who contribute to the research atmosphere in econometrics and provide an additional intellectual resource for our own graduate students. Many prominent econometricians from around the world visit the department and spend sabbatical terms at Yale. 

The Yale econometrics group has close interactions with applied fields, particularly industrial organization, labor, macroeconomics, development, structural microeconomics, and finance. These interactions assist our graduate students in developing applied interests to accompany their research in econometric theory. 

Overview of Courses

The department offers an intensive six semester sequence of courses in econometric theory and its applications. These courses enable incoming students to cover foundational material in probability theory and econometric methods. Students with strong backgrounds are encouraged to enter the second year sequence which covers modern asymptotic theory, parametric and nonparametric modeling, time series, panel data methods, and microeconometrics. Further advanced topics courses are available in the following year as well as courses taught by faculty who specialize in empirical work.

Requirements

The primary departmental requirement in econometrics is an Applied Econometrics Paper. This requirement helps students acquire experience in applied econometric work, including the use of econometric software and programming techniques, which are valuable skills for all practicing economists, irrespective of specialization.  Further information on this requirement is available at here.

Seminars

The Department runs three weekly workshop meetings in econometrics. A formal Econometrics Seminar hosts speakers invited from other universities to report on their latest research and to provide overviews of developing research areas. A less formal Econometrics Research Workshop enables students and faculty to discuss their own ongoing work and go over the details of technical proofs in their papers. The Workshop also provides a venue for short term visitors to discuss extensions and applications of the work presented in the Econometrics Seminar. An informal Econometrics Prospectus Lunch, funded by the Cowles Foundation, is intended primarily for our graduate students to assist them in moving forward with their own research agendas, to prepare them for writing a dissertation prospectus, and to report on ideas and early findings. The Lunch enables faculty to discuss recent ideas and wider issues of econometrics, including the history of econometric thought. The Lunch is a convenient venue also for our former students who are working in government or industry to report on their work in these sectors.

Other Recommended Courses

Students are encouraged to take advanced courses in the Statistics, Mathematics, and Computer Science Departments, where many complementary courses are offered.