- Applied topics in statistical estimation: regression analysis
- Errors in variables
- Dummies
- Lags and distributed lag models
- Model specification and diagnostic testing, including:
- Model selection criteria
- Consequences of model specification errors
- Errors in measurement
- Incorrect specification of stochastic error term
- Treatment of outliers and leveraged observations
- Recursive least squares
- Time series econometrics, including:
- Stochastic processes
- Random walk models
- Difference and trend stationary processes
- Integrated processes
- Tests for stationarity and cointegration
- Simultaneous equation models
- The problem of identification
- Methods of estimation of simultaneous models:
- Indirect least squares
- Instrumental variables
- Two-stage least squares
- Tests for simultaneity
- Granger causality test
Course Features
- Lecture 0
- Quiz 0
- Duration 10 weeks
- Skill level All levels
- Language English
- Students 0
- Assessments Yes
