Centro de Engenharia, Modelagem e Ciências Sociais Aplicadas (CECS)

Programa de Graduação em Economia

Daniel de A. J. Roland

A. OBJECTIVES
The main objective of this course is to provide students with a basic understanding of the classical
linear regression model along with its assumptions in a cross-sectional setting. Moreover, the
course provides theoretical elements that will be fundamental for further studies in econometrics
including time series, longitudinal data and advanced estimation techniques which are useful in
finance, applied macroeconomics or microeconomics and evaluation of public policies and
business strategies.

At the end of this course, the students are expected to: (i) Be able to differentiate correlation from
causality and take necessary steps to disentangle the two. (ii) List the classical linear regression
model assumptions and discuss under which circumstances estimators are valid. (iii) Generate and
interpret parameter estimates of a model of interest in terms of the economic problem being
considered. (iii) Be able to calculate residual errors from a model, formulate and conduct a
hypothesis test to evaluate normality of errors. (iv) Calculate and interpret the coefficient of
determination and the adjusted coefficient of determination. (v) Transform non-linear models so
that they can be used in a classical linear regression model and interpret the results. (vi) Test the
validity of individual parameter estimates and of the model overall. (vii) Use independent
categorical binary variables and interpret their parameter estimates.

B. CONTENT
Simple and multiple linear regression models: prediction, purpose and inference. The Gauss-
Markov hypotheses. Asymptotic properties of ordinary least squares (OLS) and corrections.
Special topics on specification of regression models. Linear regression with qualitative
independent variables (dummies).
Regression analysis
a. Introduction (background and linear regression model)
b. Estimation Method (Ordinary Least Squares - OLS)
c. Assumptions and estimator properties
d. Quality adjustment measures
e. Functional forms
f. Inference
g. Interaction between explanatory variables
h. Dummy variable
i. Partial F-test
C. MATERIALS
The course material, including lectures, problem sets, course syllabus, announcements and any
further information concerning Econometria I (English) will be available at the online learning
platform Moodle UFABC (or other learning platform, pending authorization). The updates on
uploaded files and directories will be announced at the end of each lecture.

D. CONTACT HOURS
The students can request a meeting for academic assistance on Tuesdays from 7pm to 9pm
(pending room authorization). Requests for meetings (or any academic matter) must be sent to the
lecturer’s email prior to the actual meeting: [email protected]. Please allow two
working days for a reply. Should no room be available (or necessary), assistance can be provided
through email.

E. EVALUATION
Module evaluation will be based on two written exams testing theoretical knowledge based on the
content shown in class, the reading material and problem sets. The problem sets themselves will
not be graded, but their submission will count towards the final grade as long as a serious attempt
to answer the questions has been made. The exact evaluation system is outlined below:
⋯
𝑓𝑖𝑛𝑎𝑙 𝑔𝑟𝑎𝑑𝑒 = 0.9 (0.4 ∗ 𝑃 ) + (0.6 ∗ 𝑃 ) + 0.1 ,
where P1 and P2 are the midterm exam and the final exam, respectively, and Ln represents the
ordered number of a problem set. The midterm exam will be worth 40% of the exams’ grade,
while the final exam will be worth 60% of the exams’ grade. Both will account for 90% of the
final grade. Each problem set Ln will be worth 0% if not submitted or no real attempt to answer
the questions has been done, or 100% if submitted properly. Each problem set will have a 2 weeks
deadline for submission after it is made available. This will be clearly stated in the uploaded file.
Final grade (FG, %) Final grade (concept)
≥ 85% A
85% < FG ≥ 75% B
75% < FG ≥ 65% C
65% < FG ≥ 55% D
55% < FG F
Absent/Dropout O

The date of the midterm exam is expected to be on 19th March 2024 and the final exam is expected
to be on 19th April 2024. The content of each exam is cumulative. Both dates are subject to change
based on the lecturer’s assessment of the academic calendar. Any changes will be communicated
well in advance.
The student is allowed to request one replacement exam if he is unable to take either the midterm
or the final exam. Failure to attend both exams will result in immediate fail in the course as a
dropout (O). The date of the replacement exam will be on 23rd April 2024. A week before the
replacement exam, if not earlier, the student must present a medical statement justifying the
absence from an exam. Requests done after this deadline will not be accepted. There will be a
revaluation exam on 26th April 2024.
The revaluation exam will be available for students with an F or D concept and that have attended
both exams. Students with an F concept can obtain a passing grade (D) if they obtain at least 70%
of marks in the revaluation exam. Students with a D concept can obtain a C concept if they obtain
at least 75% of marks in the revaluation exam.

F. ATTENDANCE
Following university guidelines, there will be attendance monitoring. It is expected that students
attend at least 75% of lectures. Students must attend lectures and exams at their designated
enrolled timeslots and will not be allowed in at any other time.

G. Important notes
There will be no informal changes allowed. That is, only the students that are enrolled in
Econometrics I (English) are allowed to attend the lectures. Additional students attending the
lectures will be asked to leave if identified and will not have any information on attendance, exam
results or concepts made available.

H. Main textbooks
GUJARATI, D. Econometrics by example. 4. ed. Basingstoke, GBR: Palgrave Macmillan,
2012.
STOCK, J.; WATSON, M. Introduction to econometrics. Boston, USA : Addison-Wesley
Publishing, 2011.
WOOLDRIDGE, J. Introductory econometrics: a modern approach. 4th ed. Mason, USA :
South-Western College Pub, 2009.

K. Supporting textbooks
DAVIDSON R.; MACKINNON J. G. Econometric Theory and Methods. Oxford: Oxford
University Press, 2004.
DOUGHERTY, C. Introduction to Econometrics. 3. ed. Oxford: Oxford University Press,
2007.
GREENE, W. Econometric Analysis. 7. ed. Nova York: Prentice Hall, 2008.
KENNEDY, P. A Guide to Econometrics. 6. ed. Cambdirge: MIT Press, 2008.