Econometrics II

Catalog description

This course will begin with an overview of the classic linear regression model. We will cover both finite sample and large sample properties of OLS method, as well as the hypothesis test associated with OLS. We will also discuss the maximum likelihood method (ML), generalized least squares (GLS), endogeneity problem and its solution (instrument variable (IV)), generalized method of moments (GMM), panel data model. We will also briefly introduce the popular logit/probit model and the numerical methods used to estimate them. Finally, we will introduce several useful time series model, such as moving average (MA) and autoregressive (AR) model.