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Course Outline
The Nature of Econometrics and Economic Data
- Econometrics and models
- Steps in econometric modelling
- Types of economic data, time series, cross-sectional, panel
- Causality in econometric analysis
Specification and Data Issues
- Functional form
- Proxy variables
- Measurement error in variables
- Missing data, outliers, influential observations
Regression Analysis
- Estimation
- Ordinary least squares (OLS) estimators
- Classical OLS assumptions,
- Gauss Markov-Theorem
- Best Linear Unbiased Estimators
- Inference
- Testing statistical significance of parameters t-test(single, group)
- Confidence intervals
- Testing multiple linear restrictions, F-test
- Goodness of fit
- Testing functional form
- Missing variables
- Binary variables
- Testing for violation of assumptions and their implications:
- Heteroscedasticity
- Autocorrelation
- Multicolinearity
- Endogeneity
- Other Estimation techniques
- Instrumental Variables Estimation
- Generalised Least Squares
- Maximum Likelihood
- Generalised Method of Moments
Models for Binary Response Variables
- Linear Probability Model
- Probit Model
- Logit Model
- Estimation
- Interpretation of parameters, Marginal Effects
- Goodness of Fit
Limited Dependent Variables
- Tobit Model
- Truncated Normal Distribution
- Interpretation of Tobit Model
- Specification and Estimation Issues
Time Series Models
- Characteristics of Time Series
- Decomposition of Time Series
- Exponential Smoothing
- Stationarity
- ARIMA models
- Co-Integration
- ECM model
Predictive Analysis
- Forecasting, Planning and Goals
- Steps in Forecasting
- Evaluating Forecast Accuracy
- Redisual Diagnostics
- Prediction Intervals
21 Hours
Testimonials (5)
We were using road accident data for practicals
Maphahamiso Ralienyane - Road Safety Department
Course - Statistical Analysis using SPSS
I genuinely enjoyed the many hands-on sessions.
Jacek Pieczątka
Course - Administrator Training for Apache Hadoop
I learned new things so that is a good point
Daria - LKQ Polska Sp. z o. o.
Course - Analysing Financial Data in Excel
Well thought out and high grade planning materials.
Andrew - Office of Projects Victoria - Department of Treasury & Finance
Course - Forecasting with R
Good detail on what R is used for and how to start using it right away