This course on Econometrics aims to teach students the Gauss Markov Theorem, regression analysis, matrix algebra, IV estimation, time series analysis, heteroscedasticity detection, autocorrelation testing, structural change modeling, instrumental variable estimation, maximum likelihood estimation, Bayesian econometrics, and OLS estimator properties. The course covers topics such as regression assumptions, spurious regression, GLS theory, Newey-West standard errors, Ramsey Reset Test, and measurement error. The teaching method includes online clips and exercises, catering to students studying econometrics at an intermediate level.
Overview
Syllabus
Gauss Markov Theorem - Sketch of a proof.
two tailed Regression t-test.
Regresion coefficient confidence interval.
Multicollinearity.
p-values.
F-test for linear restrictions in regression model.
IV notation.
What's the use of Matrices for regression analysis?.
Matrix Algebra - Addition.
Matrix Algebra Multiplication.
Matrix Algebra Inverse.
The Regression Model - From Matrix form to Obs form.
Estimator Consistency and Laws of Large Numbers.
Asymptotic Normality of OLS parameter Estimators.
Random Regressors and OLS properties.
TSdata from the OECD database.
Regression Assumptions for Time Series Data.
ECON20110 Spurious Regression.
ECON20110 Exercise1.
ARIMA estimation in R.
Heteroscedasticity Intro.
Generalised Least Squares (GLS) Theory.
ECON20110 Detecting Heteroskedasticity.
ECON20110 Heteroskedasticity Detection in EVIEWS.
Introduction to Autocorrelation.
Newey-West Standard Errors.
ECON20110 Ramsey Reset Test.
Using dummy variables to model structural change.
ECON20110 Exercise 2.
Modelling Summary.
Measurement Error.
Two Stage Least Squares to IV Estimator.
Testing for Autocorrelation.
Structural Change Example.
ECON20110 - IV and Proxy.
Instrumental Variable Estimation - Motivation.
ECON20110 Exercise 4.
Maximum Likelihood - A Poisson Example.
ECON20110 Exam 2011 Q4.
ECON20110 2011-12 Semester 1 Question 1.
ECON20110 2012-13 Semester 1 Question 5.
Introduction to Bayesian Econometrics.
Bayesian v Frequentist Inference.
Bayesian Estimation - Exercise.
Selecting subsamples in EVIEWS.
Time Series Analysis Question.
Heteroskedasticity Question.
Maximum Likelihood Exercise.
Omitted Variable Bias.
OLS estimator unbiasedness in multiple regression model.
Omitted Variable Bias.
OLS Parameter interpretation.
OLS estimator variance.
OLS linking assumptions to properties.
Econometrics Mid-Term Feedback Nov 2019.
Taught by
Ralf Becker
