Econometrics I
Objectives
The goal of this course is to provide an introduction
to the application of statistical methods in econometrics.
Knowledge of calculus, linear algebra, probability and statistics are assumed. The course covers estimation and inference in linear models, including regression and instrumental variables. Nonlinear models (including GMM and MLE estimators) will be introduced. The last part of the course is devoted to introducing the students into the analysis of Time Series models.
General characterization
Code
6306
Credits
8
Responsible teacher
TBA
Hours
Weekly - Available soon
Total - Available soon
Teaching language
English
Prerequisites
n/a
Bibliography
TBA
Teaching method
The course will consist of two one and a half hour lectures over twelve weeks. Exercises are provided each week and are discussed in the class.
Evaluation method
The course grade will be based on a final exam. There will be problem sets which students should attempt to solve.
Subject matter
Introduction
The single-equation linear model. OLS estimation.
Instrumental variables estimation of single equation linear
models
Additional single-equation topics
General approaches to nonlinear estimation
Time series models