Advanced Applied Econometrics (QEM) 221911-D
Laboratorium (LAB) Semestr letni 2024/25

Linear regression. Least squares estimator. Asymptotic properties. Gauss-Markov theorem

Testing economic hypotheses. Multiple hypothesis testing. Linear and non-linear hypotheses. Confidence intervals. Delta method.

Verifying key assumptions: normality, colinearity and functional form. Godness-of-fit.

Heteroskedasticity and serial correlation. Generalized least squares estimator. Weighted least squares. Robust and clustered standard errors

Endogeneity. Instrumental variables estimation. Properties of instrumental variables.

Simultaneous equations model. Parameter identification problem. Estimation method for SEM.

Time series. Stationarity, spurious regression and cointegration.

Autoregressive distributed lags models. Vector Autoregression (VAR) models. Structural VAR.

Panel data. Between and within variation. Random and fixed effects models. Between regression. Hausman-Taylor estimator.

Limited dependent variable. Models for binary and multinomial outcome variable. ML estimator. Panel data and limited dependent variable.

Count data models. Tobit regression.

Generalized method of moments. Selected applications

Dynamic panel data models. Nickell?s Bias. Anderson-Hsiao estimator. Arellano-Bond estimator. System GMM estimator..

Estimating treatment effect. Difference-in-difference.

Regression discontinuity design.