Econometrics

Our faculty have research interests in all the major fields of econometrics, and the Economics Department provides a rich training ground and finishing school for aspiring econometricians. Since its inception, the Department has nurtured the development of prominent econometricians working in universities, government agencies, or the financial industry. The Econometrics group has close interactions with applied fields, particularly industrial organization, labor, macroeconomics, development, structural microeconomics, and finance. These interactions assist our graduate students to develop applied interests to accompany their research in econometric theory.

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, we conduct and support research across a growing number of sub-disciplines from time series econometrics and financial econometrics to microeconometrics and spatial econometrics. The Cowles Foundation funds a regular influx of short term and long term academic visitors, postdocs, and doctoral students from other institutions, who contribute to the research atmosphere in econometrics. The Cowles Foundation has hosted the journal Econometric Theory since its establishment in 1985.

Seminars and Conferences

The Department runs three weekly workshop meetings in econometrics. A formal Econometrics Seminar hosts speakers 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. The Workshop also provides a venue for short term visitors to discuss extensions and applications of the work presented in the Econometrics Seminar. Finally, the Econometrics Prospectus Lunch is intended primarily for our graduate students to assist them in moving forward with their own research agendas. The Lunch is also a convenient venue for our former students who are working in government or industry to report on their work in these sectors.

Every year, the Econometrics Program hosts a summer conference to bring together top economists in the field to present new research. Recent conferences have covered a wide variety of topics, including multiway empirical likelihood, testing with many restrictions under heteroskedasticity, treatment effect estimation with estimation of compliance, identification of average marginal effects in fixed effect logit models, maximum score-type estimation of models with single or multi-indices, estimation in panels with interactive fixed effects with a low rank structure, randomization inference methods for cluster-randomized experiments, matrix extensions of quantile treatment effects in networks, panels, and scenarios, treatment allocation rules when the welfare criterion is nonlinear, partial identification of demand under attention overload, minimax stopping rule in dynamic experiments, and cointegration with many time series.

For more information about the Econometrics summer conferences, see the Cowles Conferences and Workshops page.

Graduate Teaching and Research

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.

For detailed field descriptions, please see the Department’s PhD Program Page.