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Econometrics 2019-20 PDF

This document outlines an econometrics course taught during the second semester. The course introduces students to common statistical methods in econometrics, including the linear regression model, properties of ordinary least squares estimation, and large sample theory. Topics covered include hypothesis testing, the asymptotic distribution of OLS, heteroskedasticity, autocorrelation, and endogeneity. Assessment is based on problem sets and a final exam.

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92 views3 pages

Econometrics 2019-20 PDF

This document outlines an econometrics course taught during the second semester. The course introduces students to common statistical methods in econometrics, including the linear regression model, properties of ordinary least squares estimation, and large sample theory. Topics covered include hypothesis testing, the asymptotic distribution of OLS, heteroskedasticity, autocorrelation, and endogeneity. Assessment is based on problem sets and a final exam.

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© © All Rights Reserved
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Course: Econometrics I

Faculty: Pau Milán

Term: Second semester, year 1

E-mail: [email protected]

Web page: sites.google.com/site/paumilan

Office Hours: Wednesdays, 15-17

Description: This is the first half of the required introductory course in


econometrics. Prerequisites are a good command of linear algebra,
optimization, probability and statistics.

Objective: The objective of this course is to familiarize students with the most
common statistical methods in econometrics. We will study the linear
model, its basic assumptions, and derive the asymptotic properties of
some basic estimators (such as OLS, GLS and IV). Students will also
acquire a working knowledge of statistical packages (Stata and
Matlab)

Outline:

1. Introduction: Review of Statistics


a. Estimation theory:
- Criteria for an estimator: analogy principle
b. Hypothesis testing:
- Definition
- Neyman-Pearson lemma
- Confidence intervals

2. The Linear Regression Model


a. The Basic Model
Departament d´Economia i d´Història Econòmica · UAB · Edifici B · 08193 Bellaterra · Barcelona (Spain) Phone (+34) 93 581 13 59 ·
Fax (+34) 93 581 20 12 · E-mail [email protected] · Web idea.uab.es


- Assumptions
- Algebra of least squares
- Geometry of least squares
b. Properties of OLS
- Finite sample distribution
- Gauss-Markov Theorem
- Estimation of error variance
c. Properties Under Normality
- Assumptions and Properties
- Exact Tests

3. Large-Sample Theory
a. Review of Limit Theorems
- Modes of convergence
- Law of large numbers
- Central limit theorem
b. Large-Sample Distribution of OLS
- Consistency
- Asymptotic Normality
c. Hypothesis Testing
- Exact Vs. asymptotic tests
- The Trinity: Wald, LM, and LR tests
d. Bootstrap
- Basic Principle
- Properties

4. Robust Estimation
a. Heteroskedasticity
- Generalized Least Squares (GLS)
- White Test
- Grouped data
b. Autocorrelation
- Robust estimation
- Tests
c. Collinearity
-Ridge and Lasso

5. Endogeneity
a. Sources of endogeneity
- Simultaneity
- Omitted variables
- Measurement error
b. Instrumental variables (IV) and 2SLS
- Orthogonally and relevance restrictions
- Estimation
c. Identification
c. Tests of endogeneity

Departament d´Economia i d´Història Econòmica · UAB · Edifici B · 08193 Bellaterra · Barcelona (Spain) Phone (+34) 93 581 13 59 ·
Fax (+34) 93 581 20 12 · E-mail [email protected] · Web idea.uab.es


References:
• Lecture Notes (will be made available on my website)
• Hayashi (2001) Econometrics, Princeton Univesrity Press.
• Wooldridge (2002) Econometric Analysis of Cross Section and Panel Data, MIT
Press, Cambridge- Mass, USA.

Other Sources:
• Cameron and Trivedi, (2005) Microeconometrics: Methods and Applications,
Cambridge University Press.
• Greene, W.H. (2000) Econometric Analysis, Pearson Prentice Hall.

Grading:
problem sets (analytic and computational) (20%) and final exam (80%).

Departament d´Economia i d´Història Econòmica · UAB · Edifici B · 08193 Bellaterra · Barcelona (Spain) Phone (+34) 93 581 13 59 ·
Fax (+34) 93 581 20 12 · E-mail [email protected] · Web idea.uab.es

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