Brief Course Description
1. Course Title:
Advanced Econometrics
2. Language of Instruction:
Tiếng Việt
3. Course Code:
MAT508011
4. Credits:
3
5. Course Objectives:
This course provides advanced econometric knowledge, aiming to equip students with the necessary skills to analyze and handle complex data in economic research. The course content includes:
- Using instrumental variables and the 2SLS (Two-Stage Least Squares) method to address endogeneity issues in regression models.
- Introducing the GMM (Generalized Method of Moments) for estimating econometric models.
- Introducing methods for handling and analyzing panel data, including dynamic panel regression models.
- Providing basic knowledge of time series, including the components of time series, data stationarity, and spurious regression issues.
- Offering knowledge about white noise series, random walks, autoregressive processes (AR), moving average processes (MA), ARMA (AutoRegressive Moving Average) processes, ARIMA (AutoRegressive Integrated Moving Average), and their extensions for time series analysis and forecasting.
6. Brief Description of Course Content:
The Advanced Econometrics subject covers some advanced topics in econometrics, including dealing with endogeneity by instrumental variables and 2SLS methods; generalized method of moments, panel data regression and dynamic panel data. This subject also provides basic knowledge of time series analysis such as components of time series, stationary and spurious regression problem, white noises, random walks, AR, MA, ARMA processes. ARIMA model and its extensions are also mentioned so that students can build up models for time series and use them to forecast. Computations are supported by Eviews/Stata or R.