Econometrics in MS vs. PhD

What’s the main difference between the econometric modeling learned in an applied economics masters vs. the applied econometric skills picked up in an econ PhD (i.e. leaving out theory). I know PhDs are more about proofs and obviously research beyond first year but in terms of building VAR, ARCH, and panel data models for example 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
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