Econometrics
(part by RM)
Topic 1: Simultaneous Equation System
# Why do we have Simultaneous Systems?
# OLS in Simultaneous System - Simultaneous Bias
# Methods to solve Simultaneous System - Recursive System & OLS
# Methods to solve Simultaneous System - Indirect Least Square
# ILS and Identification
# Identification Conditions - Order & Rank Conditions
# Methods to solve Simultaneous System - 2-Stage Least Square (2SLS)
# Bias and Consistency of ILS and 2SLS estimates
For dataset to practice estimation of SES, click here and here
In the first the two CEVs are Crime Rate and Log_Police_expense
Possible PDVs are Unemployment and Literacy for first CEV and Police/area and Pop Density for second CEV
In the second the two CEVs are Cigs and Log_income
Possible PDVs are Age, Age sq and Cig_Price for first CEV and Age, Age-sq and Edu_Years for second CEV
Topic 2: Qualitative Variables
# What are Qualitative Variables?
# How to convert Qualitative Variables into Machine Readable format?
# Qualitative Independent Variables : The Dummy Variable Trap
# One Qualitative Explanatory Variable - Intercept Dummy; Slope Dummy;
# Multiple Qualitative Variables - Interaction Dummy
# Dissimilar; Coincident; Parallel; Concurrent Regressions
# Qualitative Dependent Variable - The Linear Probability Model
# Qualitative Dependent Variable - The Logit Model
References:
Gujarati, DN: Basic Econometrics
Gujarati, DN: Econometrics by Example
Wooldridge: Econometrics - An Introduction
Problem Set for Practice: HERE
