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Introductory Econometrics

Description

This course is an introduction to econometric methods emphazising their possible applications. These methods are frequently used in economics as well as in business administration for decision making, controlling and testing of hypotheses. This course's focus lies on linear regression models with several applications to economic and business related problems. The aim is to provide a framework to formulate and solve economic problems by using the developed methods and appropriate software. There is a supporting tutorial for this course introducing the econometric software package EViews and giving further applications of the methods tought during the lecture. As a prerequisite for the lecture, the visitor is expevted to have some basic knowledge in probability theory and statistics.

Course Outline

  1. The linear regression model
    1. The bivariate regression model
      1. Assumptions
      2. The ordinary least squares (OLS) estimator
      3. Algebraic and stochastic properties of the OLS estimator
      4. The maximum-likelihood (ML) estimator
    2. The multivariate regression model
      1. Assumptions
      2. The OLS estimator
      3. Algebraic and stochastic properties of the OLS estimator
      4. Omitted and redundant variables
      5. LM-, LR- and Wald test
      6. Multicollinearity
  2. Generalizations
    1. Stochastic regressors and non-normal disturbances
    2. The generalized least squares estimator
    3. Heteroskedasticity
      1. Definition
      2. Tests
      3. Consistent estimators
    4. Autocorrelation
      1. Definition
      2. Tests
      3. Consistent estimators
    5. Endogenous Regressors
      1. Definition
      2. Instrumental Variables Estimation
      3. Tests

Reading List

Main Texts

Wooldridge, Jeffrey M., Econometric Analysis of Cross Section and Panel Data, 2nd Ed., MIT Press, Massachusetts, 2010

Complementary Reading

Greene, William H., Econometric Analysis, 7th Ed., Pearson, New Jersey, 2012
Hayashi, Fumio, Econometrics, Princeton Universiy Press, New Jersey, 2000
Ruud. Paul A., An Introduction to Classical Econometric Theory, Oxford University Press: New York and Oxford 2000
Davidson, Russel and James G. MacKinnon, Econometric Theory and Methods, Oxford University Press: New York and Oxford 2004
Wooldridge, Jeffrey M., Introductory Econometrics, 3rd Ed., South-Western College Publishing, 2005

© Alfred Maußner 2013

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