TA of Econometrics (MSc. Year 1)

Syllabus

• The Linear Regression Model: Least squares and other estimation methods; properties of estimators; goodness of fit; hypothesis testing; misspecification testing; heteroscedasticity; endogeneity, instrumental variables and the Generalised Method of Moments
• Econometric Models for Panel Data: Fixed effects and random effects methods
• Maximum Likelihood Estimation: Principle of Maximum Likelihood Estimation, properties, testing (Wald, Likelihood Ratio and Lagrange Multiplier Tests)
• Models with Limited Dependent Variables: Binary choice models: the linear probability model, probit and logit models, estimation, interpretation of coefficients, goodness of fit, specification testing, correcting for specification errors; Multi response models: Multinomial logit and ordered probit models; Censored regression.