This course provides learners with advanced training in econometric theory and applications, focusing on time series, cross-sectional, and panel data methods. It equips students with the skills to specify, estimate, interpret, and critically evaluate econometric models, use statistical software for empirical analysis, conduct forecasting, and apply results to economic policy and decision-making.

CLO 1 : Apply time series, cross-sectional, and panel data econometric models to real-world datasets.

CLO 2 : Analyse econometric models using statistical software for estimation, interpretation, and validation.

CLO 3 : Evaluate common econometric problems including non-stationarity, endogeneity, heteroscedasticity, and multicollinearity, and implement appropriate corrections.

CLO 4 : Create evidence-based economic policy recommendations through critical evaluation of empirical research.

• Explore the foundations of applied econometrics, including the role, purpose, assumptions of economic models, and how theory translates into empirical analysis.
• Work with cross-sectional data methods, learning to interpret simple/multiple regression models while diagnosing heteroskedasticity, multicollinearity, and related issues.
• Apply limited dependent variable logit models for binary outcomes, including LPM, logit, and probit.
• Address endogeneity challenges through causal inference methods like instrumental variables (IV), two-stage least squares (2SLS), and related diagnostics.
• Analyse time series econometrics, covering stationarity testing, autocorrelation, ARMA models, unit roots, and dynamic economic relationships.
• Master forecasting techniques, cointegration analysis (Engle-Granger, Johansen), and volatility modelling (ARCH/GARCH).
• Implement panel data frameworks using fixed effects (FE), random effects (RE), Hausman tests, and dynamic panel methods to control unobserved heterogeneity.
• Complete the Applied Econometrics Project, integrating the full pipeline from research question to estimation, validation, and policy-relevant economic recommendations.