Econometrics

The course starts with the derivation of the least squares estimator (OLS). OLS properties are discussed using the classical Gauss-Markov assumptions. The generalized least squares method (GLS) is presented for cases where the simplifying assumptions do not hold. Various issues regarding model specification such as the appropriate functional form are reviewed. Simultaneous equation models are discussed in connection to instrumental variable estimators. The maximum likelihood estimator is introduced in connection to the estimation of the Logit, Probit and Tobbit models. Time Series Models and issues such as nonstationarity and unit root tests are discussed. Estimation and interpretation of the uni-and multivariate time series models are reviewed. Panel data and estimation and interpretation of the fixed and random effects models are discussed.