Advanced Econometrics 2400-DS1AE

The lecture concerns important areas of modern econometrics: models estimated on the time series and panels, and the applications of the Maximum Likelihood and Generalised Method of Moments estimators.
During the lecture, the most important statistical models used in modern econometrics will be discussed. The lecture will be illustrated with empirical examples.
Exercises for the lecture are used to familiarize students with the applications of econometric models discussed at the lecture and to check students' knowledge on an ongoing basis.
Topics:
1. Stochastic process, Spurious regression
2. Stationarity and Nonstationarity, Stationarity testing – Augmented Dickey-Fuller and KPSS test
3. DL and ARDL models
4. ARMA and ARIMA models
5. Seasonality
6. Cointegration and Error correction model
7. Maximum Likelihood Estimators, Likelihood function, properties and testing process
8. Binary dependent variables models (LPM, Logit, Probit and others)
9. Ordered Logit & Probit
10. Multinomial Logit, Conditional Logit
11. Models for count data (Poisson, Negative Binomial and others)
12. Censored data, sample selection, Censored data model (Tobit), Sample selection (Heckmann model)
13. Panel data, Panel data specificity and properties, OLS, Random Effects and Fixed Effects models, Hausman and Individual Effects tests
14. Endogeneity, Instrumental Variables Methods, Instruments choice, Hausman and Sargan tests
15. Generalised Method of Moments