This course is similar to what is known as Intermediate Econometrics in Microeconomics. Course topics are specifically focused on a variety of violations in Gauss-Markov assumptions. Picking up from what was left in the previous course (Regression Analysis I), the first topic of this course is the failure of A4GM, which are heteroskedasticity and autocorrelation. The course topics are:

Heteroskedasticity

• Autocorrelation
• Endogeneity
  – Measurement error
  – Mis-specification error (Omitted variable bias)
  – Simultaneity
  – Instrumental variable Estimation
• Stationary ARMA model