Learning Outcomes:
Understanding and using econometric techniques at a masters levels.
Indicative Module Content:
1. Linear Regression (Ch. 2)
- model, OLS estimator
- Gauss-Markov assumptions, small sample properties, hypothesis testing
- asymptotic properties
2. More on the Linear Model (Ch. 2-3)
- missing data, outliers
- multicollinearity
- selecting regressors
- selecting functional form
3. Heteroskedasticity (Ch. 4)
4. Autocorrelation (Ch. 4)
5. Endogeneity (Ch. 5)
- Instrumental Variables estimator
- 2-Stage-Least-Squares and Generalized IV estimator
- Generalized Method of Moments
6. Maximum Likelihood (Ch. 6)
- introduction and computational issues
- specification tests: LR, Wald and LM tests
- tests for: omitted variables, heteroskedasticity and autocorrelation