Statistics and Econometrics III: Instrumental Variables, Panel Data Analysis and Limited Dependent Variables Models
This is the third course in the econometrics series. The goal of this course is to continue building theoretical foundation and practical skills needed for independently conducting an econometric research project. The focus of the course is on the application, however, no proper application is possible without understanding the underlying assumptions behind each method. Such knowledge will allow the students to understand both the advantages of each method and its limitations. This course is built around techniques of analysis of cross-sectional and panel data. First, we will be dealing with specification and data problems followed by the panel data models. We will then move onto the consequences of end of geneity and instrumental variable estimation and the systems of equations estimation. In the second part of the course we will cover estimation techniques of nonlinear models (maximum likelihood). In this context we will consider some limited dependent variable models (Probit, Logit) along with other advanced topics.