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Topics in Applied Econometrics
  • Level Professional
  • Duration 28 hours
  • Course by Queen Mary University of London
  • Offered by

About

In this course, you will discover models and approaches that are designed to deal with challenges raised by the empirical econometric modelling and particular types of data. You will: – Explore the motivations of each approach by means of graphs, preliminary statistics and presentation of economic theories – Discuss the problem of identification of the parameters, and how to address this problem by modelling simultaneous equations and causality in economics. – Examine the key features of panel data, and highlight the advantages and disadvantages of working with panel data rather than other structures of data. – Learn how to choose what econometric specification to adopt by introducing the test for poolability and the Hausman tests. – Discuss models for probability that are used where the variable under investigation is qualitative, and needs to be treated with a different approach. – Learn how to apply this approach to building an Early Warning system to forecast systemic banking crises using data from the World Bank. It is recommended that you have completed and understood the previous two courses in this Specialisation: The Classical Linear Regression Model and Hypothesis Testing in Econometrics. By the end of this course, you will be able to: – Respond appropriately to issues raised by some feature of the data – Resolve address problems raised by identification and causality – Resolve problems raised by simultaneous equation and instrumental variables models – Resolve problems raised by longitudinal data – Resolve problems raised by probability models – Manipulate and plot the different types of data.

Modules

Random Regressors

    • 2 Videos
    • 2 Readings
    • 1 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Finding Instruments

1 Discussions

  • Looking for Instruments

1 Labs

  • An Example: Returns to Schooling

2 Videos

  • Welcome to Topics in Applied Econometrics
  • Random Regressors

2 Readings

  • The Problem with Random Regressors
  • The Instrumental Variable Approach

Simultaneous Equations Models

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 2 Assignment
Show info about module content

2 Assignment

  • Reparameterisation
  • Identifying Problems with the Approach

1 Discussions

  • Can We Recover the Initial Parameters?

1 Videos

  • Simultaneous Equation Models

1 Readings

  • Simultaneous Equation Models

Identification

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 2 Assignment
Show info about module content

2 Assignment

  • Understanding of Conditions, Identification and Causality
  • Understanding Identification

1 Discussions

  • Exploring Indentification

1 Videos

  • Identification of Parameters

1 Readings

  • Identification of Parameters: Demand and Supply

Estimation of Simultaneous Equation Models

    • 1 Videos
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Knowledge Check: Random Regressors

1 Labs

  • Estimate of the Structural Model

1 Videos

  • The Estimating Equation

Panel Data

    • 1 Videos
    • 1 Readings
    • 2 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Understanding the Advantages of Panel Data

2 Discussions

  • Advantages of Panel Data
  • Growth of Economies

1 Labs

  • Why Do Some Economies Grow More than Others?

1 Videos

  • Panel Data

1 Readings

  • Features of Panel Data Analysis

The Solow Growth Model

    • 1 Videos
    • 1 Readings
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Understanding the Pooled Model

1 Labs

  • Estimate of the Model with Pooled Observations

1 Videos

  • The Solow Growth Model

1 Readings

  • The Solow Growth Model

Fixed Effects Models

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 2 Assignment
Show info about module content

2 Assignment

  • Understanding the Solow Growth Model
  • Understanding Fixed Effects Models

1 Discussions

  • The Importance of Heterogeneity

1 Videos

  • Fixed Effects Models

1 Readings

  • How the Fixed Effects Model Works

Estimate of the Solow Model with Fixed Effects

    • 1 Videos
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Knowledge Check: Panel Data Models: The Basics

1 Labs

  • Estimate the Solow model with Fixed effects

1 Videos

  • Estimation of the Model

Random Effects Models

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Understanding the Differences Between Fixed Effects or Random Effects

1 Discussions

  • Differences Between Fixed Effects or Random Effects

1 Labs

  • Estimate the Solow model with Random effects

1 Videos

  • Random Effects Model

1 Readings

  • Controlling the Heterogeneity

Choosing Between Fixed Effects and Random Effects

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Choosing Fixed Effects or Random Effects

1 Discussions

  • Selecting a Model

1 Labs

  • The Hausman Test at Work

1 Videos

  • Fixed or Random Effects

1 Readings

  • Selecting which Model

The Use of Time

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Understanding Time Effects

1 Discussions

  • Time Effects or a Time Trend

1 Labs

  • Estimate the Solow Model with Time Effects

1 Videos

  • The Use of Time

1 Readings

  • The Use of Time effects models

Dynamic Panel Data Models

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 2 Assignment
Show info about module content

2 Assignment

  • Understanding Dynamic Panel Data Models
  • Knowledge Check: Further Analysis of Panel Data Models

1 Discussions

  • Dynamic or Static Panel Data

1 Videos

  • Dynamic Panel Data

1 Readings

  • Dynamic Panel Data Models

Probability Models

    • 1 Videos
    • 2 Readings
    • 1 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • Understanding Probability Models

1 Discussions

  • Potential Issues with Probability Models

1 Labs

  • Estimate of the Linear Probability Models with R

1 Videos

  • Linear Probability Models

2 Readings

  • Using Linear Probability Models
  • Linear Probability Models: An Example

Logit and Probit Models

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 1 Lab
    • 1 Assignment
Show info about module content

1 Assignment

  • When to Use OLS

1 Discussions

  • Using OLS

1 Labs

  • Estimating the Early Warning System for Banking Crisis

1 Videos

  • Logit and Probit Models

1 Readings

  • Limitations of Logit and Probit Models

Empirical Issues with Probability Models

    • 1 Videos
    • 2 Readings
    • 1 Lab
Show info about module content

1 Labs

  • Estimates of the Marginal Effects from the Logit and the Probit models

1 Videos

  • Marginal Effects

2 Readings

  • Interpreting Marginal Effects
  • Maximum Likelihood Estimators (MLE)

Multinomial Probability Models

    • 1 Videos
    • 2 Readings
    • 1 Discussion
    • 1 PeerReview
    • 1 Lab
    • 2 Assignment
Show info about module content

2 Assignment

  • Understanding Random Effects
  • Knowledge Check: Probability Models

1 Peer Review

  • The Determinants of Systemic Banking Crisis

1 Discussions

  • Random Effects

1 Labs

  • Estimate the Model with Multinomial Model

1 Videos

  • The Multinomial Model

2 Readings

  • The Logit and Probit Multinomial Model
  • Congratulations

Auto Summary

**Course Overview: Topics in Applied Econometrics** Dive deep into the realm of empirical econometric modeling with this comprehensive course designed for professionals in the business and management domain. Guided by expert instruction, you will master advanced econometric models and approaches tailored to tackle specific data challenges. Throughout the course, you will: - Uncover the motivations behind various econometric approaches using visual aids, preliminary statistics, and economic theories. - Address parameter identification problems by modeling simultaneous equations and exploring causality in economics. - Analyze the unique features of panel data, weighing its pros and cons against other data structures. - Learn to select appropriate econometric specifications with tests for poolability and the Hausman tests. - Explore probability models for qualitative variables, applying these methods to build an Early Warning system for forecasting banking crises using World Bank data. Ideal for those who have completed prior courses on The Classical Linear Regression Model and Hypothesis Testing in Econometrics, this course empowers you to: - Effectively respond to data-related issues - Tackle identification and causality challenges - Manage simultaneous equation and instrumental variable models - Handle longitudinal data concerns - Address probability model issues - Skillfully manipulate and visualize diverse data types This professional-level course spans 1680 minutes and is available via Coursera with a Starter subscription option. Elevate your econometric expertise and apply sophisticated techniques to real-world data scenarios.

Dr Leone Leonida
Instructor

Dr Leone Leonida