HS 826: Advanced Econometrics

 

Parametric and Nonparametric Econometrics.  Basic interpretation of Regression Models, and Tests for individual and joint significance.  Practical testing for Endogeneity and omitted variable bias. Modeling of qualitative and limited dependent variable models.  Analysis of Panel Data. 

 

Seemingly Unrelated Regressions.  Lagged Dependent Variables and Autoregressive Disturbances.  Tests on Subset of Regression Estimates.  Two-stage Least Squares and Instrumental Variable Estimation.   

 

Time-Series Models.  Smoothing and Extrapolation of Time Series.  Linear Time-Series Models.  Estimation of Time-Series Models.  Applications of Time-Series Models.  Estimating Co-integrated Systems. 

 

Nonparametric Econometrics.  Application and estimation of non-parametric econometric models.

 

Texts/References:

 

Berndt, E. R.  The Practice of Econometrics: Classics and Contemporary [London: Addison Wesley], 1990. 

 

Greene, William.  Econometric Analysis 2nd Edition [London: Macmillan], 1993. 

 

Johnston, J. and Di Nardo.  Econometric Methods, 4th Edition [New York: Macmillan], 1997. 

 

Krishna, K. L (ed.). Econometric Applications in India [New Delhi: Oxford University Press], 1997. 

 

Pagan, Adrian and Ullah, Aman, Non-Parametric Econometrics [Cambridge: Cambridge University Press], 1999.