ECON484 APPLIED ECONOMETRICS II
| Course Code: | 3110484 |
| METU Credit (Theoretical-Laboratory hours/week): | 3 (3.00 - 0.00) |
| ECTS Credit: | 6.0 |
| Department: | Economics |
| Language of Instruction: | English |
| Level of Study: | Undergraduate |
| Course Coordinator: | Prof.Dr. HAKKI OZAN ERUYGUR |
| Offered Semester: | Spring Semesters. |
Course Objectives
The course provides an elementary but comprehensive look to the practice of modern panel data econometrics. The main topics covered include introduction to panel data, fixed and random effects estimators, Hausman test, autocorrelation and heteroscedasticity tests in panel data, robust estimation, cross-sectional dependence test, PCSE estimator, panel GLS estimator, Driscoll-Kraay standard errors, short dynamic panel estimation methods: Nickel bias and difference GMM, short dynamic panel estimation methods: system GMM, panel unit root tests, panel cointegration, dynamic heterogeneous panel methods: MG, PMG, CCEMG.
Course Content
This course concentrates on the applications of models with discrete dependent variables, models with limited dependent variables and models with duration data. Such applications may include models for binary choice, models for panel data, bivariate and multivariate Probit models, models for multiple choices and Tobit analysis of the censored regression.