Course Content

Topic 1: Introduction to Programming in Matlab

  • Basic Syntax
  • Loops and Decision Statement
  • Functions
  • Plotting
  • Review of the available functions

Topic 1: Ordinary Least Squares

  • Estimation and Properties of Least Squares
  • Algorithms for Least Squares
  • Analysis of Variance
  • Hypothesis Testing
  • Model Selection
  • Parametric Estimation

Topic 2: Robust Least Squares

  • Two-Stage Least Squares
  • Generalized Method of Moments (GMM)
  • Three-Stage Least Squares
  • Instrumental Variables
  • Quantile Regression

Topic 3: Limited Dependent Variables

  • Logit and Probit Regressions
  • Tobit Models

Topic 4: Panel Models

  • Seemingly Unrelated Regressions (SURE)
  • Pooled OLS

Topic 5: Vector Autoregressive Models

  • Estimation and Selecion
  • VEC models
  • Forecasting

Topic 6: ARMA Models

  • Estimation via:
    • Yule-Walker equation
    • Two-stage LS
    • Maximum Likelihood Estimation
  • Model Selection
  • Forecasting

Topic 7: ARCH Models

  • (G)ARCH Models
  • Estimation and Forecasting