Two variable regression model: a brief review, multiple regression model, estimation and inference, specification analysis and model evaluation, non-nested tests and encompassing forecasting, multicollinearity, nature and consequences of multicollinearity, detection of multicollinearity and estimation, dummy independent variables, testing for structural change recursive least squares and recursive stability tests, seasonality, panel data, heteroscedasticity nature and consequences of heteroscedasticity, testing for heteroscedasticity, estimation in heteroscedastic models.

Course Schedule:

Monday 15:40-17:30 FZ16

Friday12:40-14:30 FZ16

Office Hours:

To be announced

Textbook:

Ramanathan, R., Introductory Econometrics

Recommended Books:

Maddala, G.S., Introduction to Econometrics

Gujarati, D., Basic Econometrics

Johnston, J. and J. DiNardo, Econometric Methods

Thomas, R.L., Modern Econometrics

Assessment:

The course is assessed by two midterm exams, Empirical Project, assignments and a final examination.

·Course Outline

Two Variable Regression Model: A Brief Review

II. Multiple Regression Model

1. Estimation and Inference

2. Specification Analysis and Model Evaluation

3. Non-Nested Tests and Encompassing

4. Forecasting

III. Multicollinearity

1. Nature and Consequences of Multicollinearity

2. Detection of Multicollinearity and Estimation

IV. Dummy Independent Variables

1. Testing for Structural Change

2. Recursive Least Squares and Recursive Stability Tests