HD (88) Intermediate Econometrics ECMT2150 FULL NOTES

Description

A full set of notes for Intermediate Econometrics, with a number of worked examples, STATA formulas, graphical depictions and mathematical derivations. These notes got me an HD in this course. It has clear memory aids, especially for difficult mathematical and statistical concepts, and emphasises the econometric techniques AS WELL AS the assumptions that need to hold for them to be valid. Topics: - The Nature of Econometrics, Probability and Statistics Review - Simple Linear Regression and Deriving OLS Estimates - Multiple Linear Regression, Non-Linear Functional Forms, R-squared - Assumptions and Properties of OLS Estimators (Simple and Multiple), Asymptotic Properties of OLS - Statistical Inference and Hypothesis Testing in Multiple Linear Regression (t-test, F-test, p-value) - Dummy Variables and Interaction Terms - Specification Issues and Endogeneity (Omitted Variable Bias, Overspecification, Multicollinearity, Endogeneity, Proxy Variables, Functional Form Misspecification and Testing, Measurement Error in Dependent and Independent Variables) - Heteroskedasticity, Breusch-Pagan Test, Modified White Test, Generalised Least Squares (Known and Unknown Heteroskedasticity) - Endogeneity and Instrumental Variables: Two-Stage-Least-Squares - Treatment Effects and Panel Data Models: Difference-in-Differences, First-Differences Panel Estimator, Fixed-Effects Model, Random-Effects Model