Sylabus
Detailed course contents:
Lecture 1: Unbiasedness, consistency, and efficiency (Chapters 2 and 5)
Lecture 2,3,4: Time Series (Chapters 10 - 12)Basic Regression analysis with time series data.- Properties of OLS with time series data.- Trends and seasonality.- Stationarity, nonstatinarity and weak dependence.- Serial correlation and heteroskedasticity in time series regressions.
Lecture 5,6: Panel Data (Chapters 13 - 14)- Pooling cross sections across time: Simple panel data methods.- Fixed effects estimation- Random Effects Models
Lecture 7: Instrumental Variables & 2SLS (Chapter 15)- Instrumental variables estimation.- Two Stage Least Squares (2SLS).
Lecture 8: Midterm exam
Lecture 9: Simultaneous equations (Chapter 16)- Simultaneous equations models (simultaneity bias in OLS, etc.).
Lecture 10, 11 Limited Dependent Variable models (Chapter 17)- Binary response models (linear probability, logit, probit). - Corner solution, censored and truncated data models.
Lecture 12: Repetition (Chapters 10-17)
Anotace
The objective of the course is to teach students how to use econometric methods to identify and quantify economic relations, how to deal with the data and interpret the results. Together with Econometrics I, the course will prepare students to carry out independent empirical projects (e.g. for a bachelor thesis) and to take the Advanced Econometrics course.