Advanced Econometrics

Joint proposal by the Financial Market Modelling Unit

Part 1: Econometric regression

Linear regression

Endogeneity and instrumental variables

Part 2: Panel data

Panel regression

Bayesian model averagin

Part 3: Time series models

Impulse response function

ARMA models

VAR models

Time series models

Bayesian VARs

All essential information related to this course can be found here.