The first module of the Econometrics course will cover the main issues related to estimation methods in Econometrics .
The Module starts with the computation of the ordinary Least Square Estimator (OLS) using matrix algebra. The statistical properties of the OLS estimator will be analyzed and the implications of violations of its assumptions will be discussed.
The module will introduce the techniques to solve endogeneity problem such as instrumental variables (IV) and Generalized Method of Moments (GMM).
The Maximum Likelihood estimator will be introduced and the properties of this estimator will be analyzed.
The first module will end with an introduction to time series analysis and AR, MA, ARMA models. The problems related to unit roots and their solutions will be explained. The module will provide also a brief introduction to ARCH and GARCH model