The students will learn some basic econometric methods used in modern economic research. They will use what they have learned in their linear algebra and statistics courses to derive the main finite sample and asymptotic properties of the OLS estimator in the standard linear model and in some more general models. They will also become familiar with the problem of endogenous regressors and with IV and 2SLS estimation. In addition, students will get hands on experience with the econometric techniques in economic applications. Throughout, the lectures students will study applications from the economic literature. During tutorials and computer classes, they will learn more about the theory but will also apply the methods and techniques themselves using the software package Stata, focusing on how to carefully choose the econometric model and how to interpret the empirical results.
- Applications such as: wage differentials, house prices, pension satisfaction, television commercials, economic growth, labour supply and fertility, labour force participation.
Recommended PrerequisitesLinear Algebra, Introduction Analysis & Probability Theory, Probability and Statistics
Students will become familiar with the following topics:
- The nature of econometrics (what is econometrics, types of data, causality, ceteris paribus).
- The algebra of least squares (simple and multiple linear regression, goodness-of-fit, multi-collinearity, prediction, marginal effects, dummy variables, interaction terms).
- The linear regression model (statistical model, ordinary least squares estimator, statistical inference (t-tests, F-tests, confidence intervals).
- Extensions of the standard model (heteroskedasticity, time series data, strict and weak exogeneity).
- Endogenous regressors (large sample properties, endogeneity problem, identification, instrumental variables, two stage least squares).
Type of instructions4 hours lecture (English) and 2 hours tutorial/computer lab (Bi-lingual) per week
Type of examsAssignment & written exam (written exam 80% of the final mark/assignment 20% of the final mark)
- Jeffrey M. Wooldridge, Introduction to Econometrics. A Modern Approach, Cengage Learning, 2014.