32626 - Econometrics

Course Unit Page

• Teacher Iliyan Georgiev

• Credits 6

• SSD SECS-P/05

• Language English

Learning outcomes

By the end of the course the student should be familiar with the theory and practice of single-equation linear econometric modelling. In particular, the student should be able to: - specify and estimate linear, single-equation econometric models with stochastic and possibly endogenous regressors; - derive and employ the asymptotic properties of linear method-of moments parameter estimators (OLS and IV) in these models; - perform a specification analysis of these models, - perform asymptotically valid inference based on these models.

Course contents

1. Introduction to the specification of econometric models.

2. OLS estimation and inference for time series data. Conditions for consistency and asymptotic normality of the OLS estimator.
Tests of linear parametric restrictions under homo and heteroskedasticity.

3. Diagnostic tests.

4. Dealing with endogenous regressors: instrumental variable methods. Introduction to GMM estimation.

A note for exchange students: This is a course for an audience with a strong background in Statistics and with a propensity to discuss the course topics from a mathematically sophisticated perspective. Students from Economics, Business and other degrees who decide to enroll should be aware of the expected profile of the target audience and would enroll at their own risk.

Verbeek, M. (2000). An Introduction to Modern Econometrics, Wiley

Teaching methods

Theory classes and empirical case studies at the lab.

Assessment methods

At the day of the first exam call that students attend during the academic year, they can make a binding and irreversible choice among two formulas for the calculation of their final course grade:

min{0.25 P + 0.75 E, 31}

and

min{E, 31},

where:

- P is a problem sets grade in [0,32],

- E is a written exam grade in [0,30].

Two problem sets will be assigned during the lecture period and individual solutions will be due one week after each assignment.

The final exam will have the duration of ninety minutes and will have two parts: theoretical exercises and questions based on estimation output. During the exam students may consult a two-sided self-written A4 sheet with whatever contents they find appropriate; this sheet should be handed in together with the answers to the exam questions.

Students are entitled to renounce a passing final course grade one time only.

Teaching tools

Econometric software: Gretl

Office hours

See the website of Iliyan Georgiev