Econometric Methods

Provide students with further knowledge of econometric techniques which go beyond those gained during the basic course of Econometrics. Emphasis is put on the theoretical underpinning of used methods and their weaknesses and strengths when applied to real modeling problems. Course consists of lectures and exercises in the computer laboratory. Program of the course focuses on different aspects of linear single equation models and linear multiple equation models and overall, complex view of the problem of model building.

Wiedza:

Knowledge

A student should know:

1. The consequences of violating the OLS assumptions for the estimator.

2. Roles and dangers related to influential observations, serial correlation, collinearity, heteroskedascity, nonstationarity and construction of tests related to these issues.

3. Estimators applicable in the case of nonspherical disturbances (GLS, WLS).

4. Classification of simultaneous equation models.

5. Role and technique of the condition of identification in simultaneous equation models.

Umiejętności:

A student should know how to

1. Estimate simultaneous equation models using 2ols.

2. Verify identification condition of simultaneous equation models.

2. Verify identification condition of simultaneous equation models.

Kompetencje społeczne:

1. Build a full single and simultaneous equation models on real data, test all assumptions, interpret results and write report from modeling.

2. Develop a synthetical perspective, based on a number of tests.