This course extends the methods and techniques employed in
Econometrics I to allow for causal inference and prediction in a larger variety
of data sets. The overall objective is for the student to learn how to
critically examine economic and financial data as well as empirical studies.
Data subject to endogeneity bias. Data collected in experiments and quasi-experiments. Data with binary dependent variables.Time series data (modeling and forecasting). Series data (estimation of causal effects). Time series data (cointegration and volatility clustering). Additional times series topics.
Slides: Class0, Class1, Class2, Class3, Class4, Class5
Reading and Videos List:
Introduction to Econometrics, 3rd Edition
James H. Stock and Mark W. Watson, Pearson.
``Introductory Econometrics: a Modern
Approach'', Jeffrey M. Wooldridge. 2016.Cengage.
``Elements of Forecasting'', Francis X. Diebold. 2007. Cengage.