ECON302 - Intro. to Econometrics II (2014Fall)
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The course provides an elementary but comprehensive look to the practice of modern econometrics. The main topics covered include heteroscedasticity, consequences of heteroscedasticity, detecting heteroscedasticity, Breusch-Pagan LM Test, Harvey-Godfrey LM Test, Goldfeld-Quandt Test, White Test, resolving heteroscedasticity, Generalized or Weighted Least Squares, White’s heteroscedasticity consistent variances and standard errors,  autocorrelation, consequences of autocorrelation, detecting autocorrelation, graphical method, Durbin-Watson Test, Breusch-Godfrey LM test for serial correlation, Durbin’s h test, resolving autocorrelation, Generalized Least Squares (GLS), Estimated GLS (EGLS), Newey-West method, common-factor test, apparent autocorrelation,  autoregressive conditional heteroscedasticity (ARCH) model, testing for ARCH effects, estimation of ARCH models, generalized autoregressive conditional heteroscedasticity (GARCH) model, estimation of GARCH Models, estimating dynamic models, adjustment lags, problems in the estimation of dynamic models, formation of Expectations: adaptive expectations, rational expectations, consequences and detection of errors of specification, data mining, alternative approaches to selecting the best model, selecting models: some important criteria, general to specific modelling, stationarity and non-stationarity, unit roots and spurious regressions, testing for unit roots, Dickey-Fuller test, Augmented Dickey-Fuller test, Phillips-Perron test, cointegration, cointegration and error-correction model (ECM), cointegration in single equations (The Engle-Granger approach, drawbacks of Engle Granger approach), vector autoregressive (VAR) models, causality tests (Granger causality test, Sims causality test), cointegration in multiple equations, Johansen approach, steps of Johansen approach, identification in standard and cointegrated systems (order condition, rank condition), traditional panel data models, fixed effects model, random effects model, Hausman test, non-stationary panels, panel unit root tests (Levin and Lin test; Im, Pesaran and Shin test, Maddala and Wu test), panel cointegration tests (Kao test, McCoskey test, Pedroni tests, Larsson test), simultaneous equation models, simultaneity, identification problem, conditions of identification, estimation of an exactly identified equation: indirect least squares (ILS), and estimation of an over-identified equation: two-stage least squares (TSLS).


  • Middle East Technical University, Department of Economics, 3 Year, Must Course.

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