Course No:           Act 672

Course Name:      Econometrics - 2

Course Description:      

a) The Generalized Regression Model: The statistical model and estimators. Heteroskedasticity. Autocorrelation; Autocorrelated disturbances, estimation and testing for autocorrelation.

b) Simultaneous-Equation Models: Specification of sampling models. Estimation of reduced-form equations. Indirect least squares. Estimation and inference for simultaneous equation. GLS, 2SLS, 3SLS.

c) Data problems: Missing observations. Grouped data. Measurement Error and Proxy variables. Instrumental variables.

d) Multicollinearity: Statistical consequences of multicollinearity. detecting the presence, severity, and form of multicollinearity. Solutions to the multicollinearity problems.

Course Review:

This course is a step ahead of the previous Econometrics-I course. This course covers the generalized regression model, statistical consequences of multicollinearity and solution, simultaneous equation models, data problems including missing observations, grouped data, measurement error and proxy variables, instrumental variables.