The complete course has 40 hours of lectures and 16 hours of exercises.
This first part of the course has 20 hours of lectures and 8 hours of exercises.
The goal of the course is to introduce 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.
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.
Lastly, we will discuss univariate time series (ARMA) models, unit roots, and Panel Data Modeling.
Master´s Degree – Econometrics I, S3 Compulsory course
12 ECTS (first part* 6 ECTS)
Basic knowledge on statistics and hopefully some linear algebra (matrices).
Lectures (20 hours, 1.11. – 30.11.2011)
Tuesdays at 10-12 and Wednesdays at 12-14
Place: Economicum, lecture room
Group 1: 8.11. – 29.11.2011 on Tuesdays at 12-14, Economicum, seminar room 3-4. NOTE!!! We begin at 12.00 on Tuesdays!
Group 2: 10.11. – 1.12.2011 on Thursdays at 14-16, Economicum, lecture room.
12.12.2011 1 st mid-term exam: S3 Econometrics
Time and place: at 9 – 12, PI (Porthania)
[24.4.2012 joint exam: S3 Econometrics I & II
Time and place: at 9 - 12, P673 (Porthania)]
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.
Those who do not have this book – please contact me immediately by email!