The Econometrics course will be organized in 3 blocks. The first block (21 hours) will present an advanced treatment of econometric theory and principles of estimation and inference in linear regression models, focusing also on maximum likelihood estimation, generalized methods of moments, and heteroskedasticity. In the second block (21 hours), students will study the estimation of nonlinear regression models, notably limited dependent variable models. The third block (21 hours) will present models for time series data. Further 25 hours of computer tutorials will be aimed at developing analytical skills using Gretl (http://gretl.sourceforge.net ).
Students should have knowledge, at least at undergraduate level, of the following topics:
These topics are in chapters 1 to 9 and 15 of “Introductory Econometrics: A Modern Approach” (Wooldridge, 7th edition, 2015). Alternatively, they can be found in chapters 1-9 and 12 of “Introduction to Econometrics” (Stock and Watson, 3rd edition, 2015). These textbooks are for undergraduate economics students who have taken a course of introductory probability and statistics.
At the end of the course, students will be assigned a take-home exam on the second block (1/3 of the final grade) with deadline on 4 (date to be confirmed) January 2023 and there will be an open book written exam on the other blocks (2/3 of the final grade) on the morning of Monday 9 (day to be confirmed) January 2023. On Monday afternoon 9 (day to be confirmed) January 2023, students will be asked to orally explain what they did in the take home exam.
In case of resit, the resit will be an open book written exams on all the blocks.
A detailed list of chapters of these textbooks will be provided during the course.
Software for computer tutorials: