Advanced Econometrics

Catalog description

Advanced Econometrics: It is the second of a two-course sequence that introduces the student to econometric analysis. EC444 focuses on Gauss Markov Theorem and its classical assumptions which guarantee that the OLS is the optimal estimator of the classical linear regression model. The course delves deeper into the consequences associated with violating the classical OLS assumptions and how to detect and correct for them. Course topics include the different functional forms of regression models, dummy variable regression models, multicollinearity, heteroscedasticity, autocorrelation, model specification and diagnostic testing, simultaneous-equation models, and identification problem. Prerequisites: ECON 433 .