University of Helsinki
The complete course has 40 hours of lectures and 20 hours of exercises.
This first part of the course has 20 hours of lectures and 10 hours of exercises.
Description
The first part of the course discusses the linear regression model, the cornerstone of econometric analysis. We will learn the Gauss-Markov assumptions that justify the use of linear models in modelling economic variables. We will study the goodness-of-fit, hypothesis testing, interpretation, residual diagnostics, different types of misspecifications, and instrumental variables in the linear regression model. Further, we will study models with limited dependent variables such as probit, logit and tobit models. The main method of estimation during the course is Ordinary Least Squares (OLS), but the more general approach of maximum likelihood estimation is discussed also.
The second part of the course on Spring term will discuss time series models and panel data models.
Level
Master´s Degree – Econometrics I, S3 Compulsory course
Scope
12 ECTS (first part* 6 ECTS)
Prerequisites
Basic knowledge on statistics and hopefully some linear algebra (matrices).
Lectures (20 hours, 31.10. – 29.11.2013)
Thursdays at 12-14, Main Building of University of Helsinki, Fabianinkatu 33, aud. XII
Fridays at 10-12, Economicum (Arkadiankatu 7), lecture room.
NOTE!!! On the 8th of November, at 10-12, the lecture is at Mandatum Life Rahat (A-304), Main Building of Aalto University, School of Business
Timetable of lectures
Course material
Exercises – link!
Group I: 7.11. – 28.11.2013, Thursdays at 14-16, Main Building of University of Helsinki (Fabianinkatu 33), aud. XII
5.12.2013, Thursday at 14-16, Economicum, seminar room 1.
Group II: 8.11. – 29.11.2013 on Fridays at 8-10, Economicum, seminar room 1.
5.12.2013 on Thursday at 12-14, Economicum, seminar room 1.
Exams
11.12.2013 1 st mid-term exam: S3 Econometrics
Time and place: at 15 – 18, PR (Main Building), room 1
[26.3.2014 joint exam: S3 Econometrics I & II
Time and place: at 9 – 12, P673 (Porthania)]
Textbook
A Guide to Modern Econometrics by Marno Verbeek, John Wiley & Sons (3rd edition). You can view pages of the book here.
My recommendation is that you buy or borrow this book before the course begins.