Econometrics II

This course extends the concepts developed in the Econometrics I. The course is aimed to provide students with the popular econometric models used in the empirical research, when the assumptions of the standard OLS model do not hold. The second part of the course discusses the time-series models widely used for the forecasting of macroeconomic and financial data. After the course the students will be able to analyze the panel data, build the models to estimate the probability of some event, establish the causal links between economic variables and to build the time-series models for forecasting

The goal of mastering the discipline

The course is aimed to provide students with the popular econometric models used in the empirical research, when the assumptions of the standard OLS model do not hold.

The skills you get

  • Students will know the econometric models used when OLS assumptions do not hold
  • Students will be able to apply the advanced econometric techniques to estimate the economic relationships
  • Students will be able estimate the time series models and build forecasts of the macroeconomic and financial vairiables

Topics covered

  • Topic 1: Review of statistics and econometrics
  • Topic 2: Regression with panel data
  • Topic 3: Regression with a binary dependent variable
  • Topic 4: Instrumental variables regression
  • Topic 5: Introduction to time series regression
  • Topic 6: Autoregression
  • Topic 7: Nonstationarity
  • Topic 8: Forecasting and forecast errors

When instructed

  • 3rd year, 1st semester

List of references and sourses

Stock, J. H., & Watson, M. W. (2015). Introduction to econometrics. Boston: Pearson/Addison Wesley.