Quantitative Methods in Economics II


We start with the classical linear regression model and tests for restrictions of the parameter. We cover the geometric interpretation of OLS and elementary optimality theory (Gauss-Markov theorem), as well as GLS estimation and feasible GLS estimators. Then we deal with generalizations necessary for practical applications: Asymptotic theory, heteroscedasticity and consistent estimators for the variance of the estimation errors like Eicker-White. Additionally, we discuss maximum-likelihood estimation, and the Wald-LM-LR tests and their equivalence.
Course Attributes:

Section 01

Quantitative Methods in Economics II
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