Econometrics II

  1. Introduction to Time Series Econometrics: Univariate Time Series

  2. Lag operators, AR, MA, ARMA and ARIMA processes, Stationary time series, difference stationary and trend stationary time series, Seasonality.

  3. Models with Qualitative Dependent Variables

  4. Linear probability models, Maximum likelihood estimation, Logit, Probit, Tobit

  5. Introduction to Panel Data

  6. Fixed effects estimation, Random effects model, Applying Panel data methods to other data structures

  7. Instrumental Variables Regression

  8. Endogeneity of explanatory variable, Instrumental variable (IV), Statistical inference with IV estimator, Properties of IV with poor instruments.

  9. Simultaneous Equations Model

  10. Simultaneity bias in OLS, Identifying and estimating a structural equation, Systems with more than two equations

  11. Selected economic Applications

 

References:

  1. Baltagi. B.H. 2008. Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons, Ltd. UK.

  2. Dougherty, C. 2011. Introduction to Econometrics (4th ed.). Oxford University Press.

  3. Greene, W.H. 2003. Econometric Analysis. Pearson Education.

  4. Gujarati, D.N. and Sangeetha. 2007. Basic Econometrics (Special Indian Edition), 4/e. McGraw-Hill.

  5. Johnston J. and DiNardo J. 1997. Econometric Methods (4th ed.). Mc-Graw Hill.