The course will cover the main issues related to estimation methods in Econometrics with a particular focus on the classical linear regression model and a short introduction to time series analysis.
The following topics are included in the program:
- The Classical Linear Regression Model (CLRM) and the OLS Estimator
- Statistical Properties of the OLS Estimator
- Model Specification: Problems and Testing
- Heteroskedasticity and Autocorrelation
- Endogeneity, Instrumental Variables (IV) and Generalized Methods of Moments (GMM)
- Maximum Likelihood (ML) Estimation and Specification Tests
- Specification Tests in Maximum Likelihood Estimation
- Time series analysis: AR, MA and ARMA models
- Stationarity and unit roots
- ARCH and GARCH models
The course will use the following textbook: A Guide to Modern Econometrics 4th Edition,
In particular we will see the topics covered in chapters 1-6 and chapter 8 (i.e. chapter 7 excluded) of the textbook.
The intermediate exam is scheduled for Monday 21, from 12 to 14 in room n° 9.