Università Roma Tre

Introduction to the linear regression model:
The regression line - The regression plan - The Gauss theorem - Markov - Goodness of data adaptation - Hypothesis testing - Asymptotic properties of the OLS estimator - Multicollinearity - Forecasting.
Interpretation and comparison of regression models:
Model interpretation - Regressor selection - Incorrect specification of the functional form: RESET test and structural break test.
Heteroskedasticity and autocorrelation:
Consequences on the estimator - GLS estimators - Heteroskedasticity - EGLS estimators - Heteroskedasticity test: Breusch-Pagan, White - Autocorrelation - Self-correlation test: Durbin-Watson
Endogenity: brief
Models with limited dependent variables:
Binary choice models - Multiple choice models.

Marno Verbeek ECONOMETRIA, ed. Zanichelli 2006.