| Area of Mathematics: | Statistics-Probability-Operational Research (ESPOR) | ||
| Semester: | 8ο | ||
| Course ID: | 82303 | ||
| Course Type: | Elective | ||
| Teaching hours per week: | Theory: 3 | Practice: 1 | Laboratory: 0 |
| ECTS : | 5 | ||
| Eclass: | |||
| Instructors: | |||
Description
- Optimal model selection: stepwise procedures (elimination, addition of variables, stepwise regression, etc), methods based on information criteria (AIC, BIC), use of multiple criterion (min SSE, min SAE, MMAE).
- Model selection with penalized techniques: Ridge Regression, LASSO, Post-LASSO, regression with elastic Net method.
- Generalized Linear Models (GLM), Generalized Additive Models (GAM).
- Qualitative response regression models (1): Linear Probability Model (LPM), Logit, Glogit, Probit, Tobit models. Poisson regression model.
- Qualitative response regression models (2): Multinomial Logistic Regression (ordinal multinomial logistic regression, nominal multinomial logistic regression).
- Panel data.
Bibliography
- Gujarati D.N. and Porter D.C., Basic Econometrics, 5th ed., McGraw-Hill, 2009
- Wooldrdge J.M., Introductory Econometrics, 5th ed., South-Western, 2013
- Baltagi B.H., Econometric Analysis of Panel Data, Wiley, 5th ed., 2013
