Econometrics II
Aim: This course is designed to the continuation of the undergraduate econometric course.
Required background: Students intending to take this course should have completed the fisrt part of Econometrics course. Maddala's Introduction to Econometrics (1996).
Main textbook: Johnston and DiNardo (1997), Econometric Methods, Mc Graw Hill.
Assignements
Supplementary books:
Efron and Tibshirani (1994) Bootstrapping, Chapman and Hall.
Hamilton (1994), Time Series Analysis, Princeton University Press.
Lecturing: There will be 3 hours of lectures for each topic. There will be weekly assignments and every two weeks some assignments will be solved by an Research Assistant. Students are expected to complete weekly assignments and run some simulation and complete computer assignemnts.
Grading: Midterm (30%)
Final (55%)
Assignments and class performance: 15%
Topics to be covered
Week 1 Introduction
Week 2 Statistical and Mathematical Revision (Chapters 1) Johnston and Dinardo (1997)
Week 3 Classical Linear Regression:
Week 4 Departures from OLS (Chapter 6)Johnston and Dinardo (1997)
Week 5 Serial Correlation
Midterm
Week 7 Heteroscedasticity
Week 8 Generalized Least Squares
Week 9 Simultaneous Equations System(Chapter 9)Johston and Dinardo (1997)
Week 10 Introduction to Some Advanced Topics (Generalised Method of Moments (GMM), Nonlinear Least Squares)
Final