Statistics and Econometrics II: Linear Regression

Description

This is the second course in the first year econometrics sequence. We will continue with analysis of cross-section data. Economic data and processes rarely conform to the assumptions of the Classical Linear Regression Model (CLRM). The purpose of this course is to explain what complications are likely to be encountered in applied econometrics, to study their consequences for econometrics, and to explore methods of dealing with them. After successful completion of the course, the 13 students will obtain theoretical knowledge on CLRM, the problems of estimation and statistical inference, multicollinearity and heteroskedasticity. Issues of various functional forms, dealing with qualitative information, and specification issues will also be considered. To succeed in this course, students are highly recommended to read in advance to prepare for the quizzes, work on all homework assignments, don’t be afraid to try the new techniques using the software, start the term project early on, and study throughout the term.