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Econometrics Learning Material

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Theory and estimation

Theory, implementation and interpretation of various statistics

Tests for detection and its solutions

Tests for detection and its solutions

Tests for detection and its solutions

Module 2: Time Series Analysis

Concept, tests of stationarity, random walk and order of integration

Concept, tests of cointegration, VAR and VECM estimation

ARDL and its uses - Koyck transformation, partial adjustment and adaptive expectations

AR, MA, ARMA and ARIMA estimation

Volatility forecasting using ARCH and GARCH models, their estimation

Module 3: Panel Data Models

Fixed effects (LSDV), random effects, random coefficients models and their estimation, Pooled OLS v/s Fixed and Random effects

Module 4: Simultaneous Equation Models

Concepts and identification: just-identified, under-identified and over-identified models

Deriving reduced form equations and coefficients, estimation and interpretation

Module 5: Qualitative Response

Linear Probability Model (LPM) and problems with OLS, Logit and Probit model estimation, marginal effects and interpretation

Marginal effects, estimation and interpretation