Econometrics II
Undergraduate course, Charles University, Institute of Economic Studies, 2018
Teaching assistanship. Revisiting key concepts from the lectures, using real life examples for thorough understanding, and walking through empirical exercises.
CORE TEXT: Jeffrey M. Wooldridge (2012): Introductory Econometrics. A Modern Approach. CENGAGE Learning Custom Publishing, 5th Edition
Seminar software: R/R Studio
Syllabus
Introductory Lecture: Repetition of basic econometrics and carrying out an empirical project
- Time Series 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
- Panel Data
- Pooling cross sections across time: simple panel data methods
- Fixed effects models
- Random effects models
- Instrumental Variables & 2SLS
- Instrumental variables estimation
- Two Stage Least Squares (2SLS)
- Simultaneous equations models (simultaneity bias in OLS, etc.)
- Limited Dependent Variable models
- Binary response models (linear probability, logit, probit)
- Corner solution, censored and truncated data models