Econometrics

Learning goals

The aim of the course is to provide you  with basic knowledge and skills of econometric analysis. After successfully attending the course, you will be able to apply the  knowledge to the investigation  of  economic  relations andprocesses, and also to understand econometric approaches, methods, and conclusions met in most economic books and articles. In particular, you should understand essential differences between time series and  cross sectional data, get to know  the specific econometric problems met when working with such data, and learn methods to deal with  these  problems. The considered methods and models will be practiced on real economic  data with modern econometric software (EViews).

Literature:

The course is based on the following textbook:
      -  Stock, J.H. and M.W. Watson (2007): Introduction to  Econometrics. Addison-Wesley (the  older  edition of 2003 will serve the purpose as  well).

But you might want to browse through other  authors' textbooks to get a second opinion:
      -  Wooldridge, J.: Introductory Econometrics: A Modern Approach (either 3rd or 4th edition)
      -  Murray, M.P.: Econometrics: A modern introduction. Addison-Wesley

Course contents

1. Introduction/Review ofStatistics

2. Linear Regression with Single/Multiple Regressors
3. Nonlinear regression functions
4. Model selection and model validity

5. Panel data regressions
6. Regression with a binary dependent variable
7. Instrumental variable estimation

8. Time series regression and forecasting
9. Estimation of dynamic causal effects
10. Regression with integrated time series (if time allows)

Information

Lectures:
Dr. Mehdi Hosseinkouchack

Certification and Credits:
Written exam of 90 minutes.