Provide students with a working knowledge of modern econometric practice, with the accompanying theoretical background. Students should also acquire skill with a suitable econometrics software package.
Course outline :
The course starts with a brief review of the linear regression model, with emphasis on a geometric approach. This is followed by the study of instrumental variables estimation, the method of moments, and generalised least squares. Next comes the method of maximum likelihood, and the classical hypothesis tests that can be based on maximum likelihood estimation. Discrete choice models, such as probit and logit, are discussed and it is shown how to estimate them by maximum likelihood. Throughout the course, the use of the bootstrap for the implementation of statistical inference in the context of econometrics will be emphasised.