Econometrics in MS vs PhD?

[Vagabond855]

What’s the main difference between the econometric modeling learned in an Applied econometric masters vs. the applied econometric skills picked up in a PhD. I know PhDs are more about proofs and obviously research beyond first year but in terms of building VAR, ARCH, Panel data models how much more advanced more advanced would applications of these models be for say a second year PhD student vs. an applied econ MS grad?


On a related note how do these texts stack up vs. PhD econometrics texts:

• a combination of Enders and some Hamilton for macroecometrics time series, big Wooldridge for micro econometrics and Tsay for financial econometrics/time series

[tutonic]

If you're focusing strictly on the real-world applications of econometric models, then the Applied Econ MS is more than sufficient. Simply put, in an applied econ econometric modelling class, you learn when and how to use these models. In a PhD field course, you mostly learn why these models work (i.e. by deriving asymptotics and the like).

If by Wooldridge, you mean Econometric Analysis of Cross Section and Panel Data, then yes, since it's a first-year PhD text in some places. You should check out Bruce Hansen's Econometrics manuscript. For all intents and purposes, it has the breath and rigour of most PhD textbooks. It's available for free on his website.

However, if you're only concerned with the application of econometric models, you should look into getting Mostly Harmless Econometrics. It's a concise text detailing only the stuff you need to know to work with the models.

[Vagabond855]

Thanks very much, exactly the insight I was looking for.

If you're focusing strictly on the real-world applications of econometric models, then the Applied Econ MS is more than sufficient. Simply put, in an applied econ econometric modelling class, you learn when and how to use these models. In a PhD field course, you mostly learn why these models work (i.e. by deriving asymptotics and the like).

If by Wooldridge, you mean Econometric Analysis of Cross Section and Panel Data, then yes, since it's a first-year PhD text in some places. You should check out Bruce Hansen's Econometrics manuscript. For all intents and purposes, it has the breath and rigour of most PhD textbooks. It's available for free on his website.

However, if you're only concerned with the application of econometric models, you should look into getting Mostly Harmless Econometrics. It's a concise text detailing only the stuff you need to know to work with the models.