Econometrics 2 provides the basic tools of applied econometric analysis. The course is based on regression analysis (covered in Econometrics 1), and gives a thorough introduction to the problem of endogeneity with possible treatments, time series regressions, linear panel models, and nonlinear probability and censored outcomes models.
Successful completion of the course enables students to
- Understand how econometric methods are used to estimate causal relationships from observational data.
- Possess a critical understanding of identification and estimation problems in economics and other social sciences.
- Formulate simple research questions and carry out independent analyses in order to answer those. Argue for and against endogeneity of right-hand side variables.
- Prove consistency or find asymptotic bias of estimators. Understand the logic of sampling variance and distribution of estimators.
- Understand the properties of specific time-series.
Problem sets — 10%,
term paper — 25%,
final exam — 65%