<p>I am currently a graduate student in Operations Research and I would like to learn econometrics, as it is not a part of the core curriculum. </p>

<p>I am comfortable with matrix algebra (many courses used it) and probability theory (used it vastly in stochastic calculus), so I don´t think that those specific things would be too much of an issue.</p>

<p>There are only two courses available. I can only choose 1.</p>

<p>Both only list as prerequisites undergraduate calculus based statistics and probability + econometrics + graduate matrix algebra. I will try and briefly tell you what I know about each: </p>

<p>1) <strong>Econometric Methods</strong>: 
Uses Cameron &amp; Trivedi´s two books. Covers chapters 4 (linear), 5 (MLE), 7 (hypot. testing), 13 (bayesian), 14 (discrete), multinomial, count, bootstrap. The professor said that for the theory part he follows the book closely. Seems to me that none of the models receive as much attention as other courses give to each of OLS/MLE/GMM, but on the other hand it seems to cover some theory of many models and sticks to the necessary estimation methods, I suppose.</p>

<p>2) <strong>Time Series</strong>
Uses Tsay´s book. Covers financial-related models such as GARCH, ARIMA, BEKK, multivariate GARCH, cointegration and so on. Employs R. The professor also said he follows the book closely and gives handouts on the MLE part of each model.</p>

<p>I don´t know much about econometrics at the graduate level. I have taken two undergraduate courses which covered basic OLS and MLE but honestly can´t pick a favorite between time series and microeconometrics. I would simply like to know more about econometrics. </p>

<p>The question is (i am sorry if it is too broad): which course would you say that would add more to my econometric toolkit? That could be in the form of professional/research applicability or simply preparation for future deeper study on the subject. </p>

<p>Thanks! First on the website, so please forgive me if I make mistakes!</p>

CC BY-SA 4.0
2020-02-07T03:38:07.980Z
I think we need more detail on exactly what your goals are and why. Personally, I would probably recommend microeconometrics, but it depends of course.
BB King
CC BY-SA 4.0
2020-02-07T04:23:43.327Z
if you're interested in theory, go for the econometrics class. if you're interested in applications, go for the time-series class. Ideally, take one and then, when you have a chance and the others' offered, take the other one. Note that it sounds like the econometrics class is going to focus on micro rather than macro. macro is more time series related so, if you're interested in time series, take the other one.
mark leeds
CC BY-SA 4.0
2020-02-07T07:20:51.997Z
Answer here will really depend on whether operations research uses a lot of time series or not as you should think of your future career. For example, if you would tell me you want to study Macroeconomic I would definitely recommend time series and if you would tell me you want to study policy economics I would recommend the econometric methods. Of course, ideally you would pick both. I would recommend trying to look and think what kind of models operations management is using. Check the papers or ask professors who teach operations management at your university
1muflon1
CC BY-SA 4.0
2020-02-07T16:42:25.647Z
BBKing thanks! My goals are mainly to learn econometric theory, but there isn't a pure econometric theory available, unfortunately. The Microeconometrics course starts with OLS and quantile and evolves to MLE, count, discrete and so one. It just seems a well rounded theory course...maybe makes more sense than going straight to time series?

markleeds thanks! They both seem a mix of theory and applications, though. Maybe 50/50? Both professors use quite difficult books, but mix with software applications. 

1muflon1 there seems to be a mix! some students go for Fin. Eng, so a lot of TS
Henry
CC BY-SA 4.0
2020-02-07T16:55:31.797Z
In that case I still think microeconometrics is the best starting point with a good foundation to go then also try time series, but I may be biased. Of course, if you end up only doing macro or finance, then you should prioritize time series, but even then there are microeconometric applications. Unfortunately, I don't know enough about operatiosn research to give a tailored recommendation.
BB King
CC BY-SA 4.0
2020-02-08T03:22:41.880Z
@BBKing thanks! I am going for Microeconometrics, although Time Series must be a lot of fun. The main reason is that Micro covers MLE while introducing probit/logit, and from there on it seems straightforward. Although TS also introduces MLE. Not sure. Any way, thank you guys very much. I hope to stick with this community! Many thanks
Henry
CC BY-SA 4.0
2020-02-19T15:48:30.570Z
Based on the textbooks, I think you will learn some actual econometrics (explanatory, structural models) in the micro class, while the time series class will be more statistics than econometrics (predictive, reduced-form models). Even if the latter is often called "financial econometrics", the spirit there is more statistical than econometric, IMHO. See [this thread](https://stats.stackexchange.com/questions/276623) for an attempt at distinguishing econometrics from statistics.
Richard Hardy
CC BY-SA 4.0
2020-02-22T19:39:44.947Z
Thank you very much, Richard Hardy! That is also my impression. Although both seem quite applied.
Henry
CC BY-SA 4.0
2020-02-22T19:41:28.730Z
The other thing I would like to know from you guys is whether taking theory courses is always better than applied. Some people have told me that if you take a theory course covering OLS/MLE/GMM you can always do applied research, but not the other way around. The Microeconometrics course is not purely applied and does teach specification, estimation and prediction (few derivations). What's your guys' opinions? Many thanks!
Henry
<microeconomics><econometrics><statistics><time-series>
Microeconometrics course vs time series
Henry
# Microeconometrics course vs time series

(Asked by: username_0 on 2020-02-07)

I am currently a graduate student in Operations Research and I would like to learn econometrics, as it is not a part of the core curriculum.

I am comfortable with matrix algebra (many courses used it) and probability theory (used it vastly in stochastic calculus), so I don´t think that those specific things would be too much of an issue.

There are only two courses available. I can only choose 1.

Both only list as prerequisites undergraduate calculus based statistics and probability + econometrics + graduate matrix algebra. I will try and briefly tell you what I know about each:

1) **Econometric Methods**:
Uses Cameron & Trivedi´s two books. Covers chapters 4 (linear), 5 (MLE), 7 (hypot. testing), 13 (bayesian), 14 (discrete), multinomial, count, bootstrap. The professor said that for the theory part he follows the book closely. Seems to me that none of the models receive as much attention as other courses give to each of OLS/MLE/GMM, but on the other hand it seems to cover some theory of many models and sticks to the necessary estimation methods, I suppose.

2) **Time Series**
Uses Tsay´s book. Covers financial-related models such as GARCH, ARIMA, BEKK, multivariate GARCH, cointegration and so on. Employs R. The professor also said he follows the book closely and gives handouts on the MLE part of each model.

I don´t know much about econometrics at the graduate level. I have taken two undergraduate courses which covered basic OLS and MLE but honestly can´t pick a favorite between time series and microeconometrics. I would simply like to know more about econometrics.

The question is (i am sorry if it is too broad): which course would you say that would add more to my econometric toolkit? That could be in the form of professional/research applicability or simply preparation for future deeper study on the subject.

Thanks! First on the website, so please forgive me if I make mistakes!

**Tags:** microeconomics, econometrics, statistics, time-series

> **Comments:**
> **username_1**: I think we need more detail on exactly what your goals are and why. Personally, I would probably recommend microeconometrics, but it depends of course.  
> **username_2**: if you're interested in theory, go for the econometrics class. if you're interested in applications, go for the time-series class. Ideally, take one and then, when you have a chance and the others' offered, take the other one. Note that it sounds like the econometrics class is going to focus on micro rather than macro. macro is more time series related so, if you're interested in time series, take the other one.  
> **username_3**: Answer here will really depend on whether operations research uses a lot of time series or not as you should think of your future career. For example, if you would tell me you want to study Macroeconomic I would definitely recommend time series and if you would tell me you want to study policy economics I would recommend the econometric methods. Of course, ideally you would pick both. I would recommend trying to look and think what kind of models operations management is using. Check the papers or ask professors who teach operations management at your university  
> **username_0**: BBKing thanks! My goals are mainly to learn econometric theory, but there isn't a pure econometric theory available, unfortunately. The Microeconometrics course starts with OLS and quantile and evolves to MLE, count, discrete and so one. It just seems a well rounded theory course...maybe makes more sense than going straight to time series?  markleeds thanks! They both seem a mix of theory and applications, though. Maybe 50/50? Both professors use quite difficult books, but mix with software applications.   username_3 there seems to be a mix! some students go for Fin. Eng, so a lot of TS  
> **username_1**: In that case I still think microeconometrics is the best starting point with a good foundation to go then also try time series, but I may be biased. Of course, if you end up only doing macro or finance, then you should prioritize time series, but even then there are microeconometric applications. Unfortunately, I don't know enough about operatiosn research to give a tailored recommendation.  
> **username_0**: @BBKing thanks! I am going for Microeconometrics, although Time Series must be a lot of fun. The main reason is that Micro covers MLE while introducing probit/logit, and from there on it seems straightforward. Although TS also introduces MLE. Not sure. Any way, thank you guys very much. I hope to stick with this community! Many thanks  
> **username_4**: Based on the textbooks, I think you will learn some actual econometrics (explanatory, structural models) in the micro class, while the time series class will be more statistics than econometrics (predictive, reduced-form models). Even if the latter is often called "financial econometrics", the spirit there is more statistical than econometric, IMHO. See [this thread](https://stats.stackexchange.com/questions/276623) for an attempt at distinguishing econometrics from statistics.  
> **username_0**: Thank you very much, username_4! That is also my impression. Although both seem quite applied.  
> **username_0**: The other thing I would like to know from you guys is whether taking theory courses is always better than applied. Some people have told me that if you take a theory course covering OLS/MLE/GMM you can always do applied research, but not the other way around. The Microeconometrics course is not purely applied and does teach specification, estimation and prediction (few derivations). What's your guys' opinions? Many thanks!  

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## 0 answers

