HSL719
| HSL719 | |
|---|---|
| Advanced Econometrics | |
| Credits | 3 |
| Structure | 3-0-0 |
| Pre-requisites | For UG students: HUL315 / HUL215 |
| Overlaps | |
HSL719 : Advanced Econometrics
Course contents (about 100 words) (Include laboratory/design activities): 1. Review of Classical Linear Regression Model: Gauss-Markov assumptions, finite sample properties, large sample properties. 2. Instrumental Variable Estimation: Motivation for instrumentation, Simultaneity Bias, Endogeneity and Measurement Error; IV Estimation; 2SLS Estimation. 3. Generalized Method of Moments: Single equation linear GMM. 4. Systems of Equations: Seemingly Unrelated Regressions (SUR) model; Simultaneous Equations Models: Identification. 5. Panel Data models: Pooled Estimation; Unobserved Heterogeneity: Fixed vs. Random Effects; ML vs. GMM estimation. 6. Discrete Choice Models: Binary response models, Multinomial Response Models, Ordered Response Models. 7. Censored Regression Models: Estimation and Inference with Censored Tobit. 8. Estimating Average Treatment Effects: Regression Methods, Methods Based on the Propensity Score, Estimating the ATE Using IV.