- 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
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Lecture
0
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Quiz
0
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Duration
10 weeks
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Skill level
All levels
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Language
English
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Students
0
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Assessments
Yes
There are no items in the curriculum yet.
