Econometrics I
Objectives
This course (*) will focus on econometric estimation methods relevant for economics and finance. By the end of the course, students should be able to analyze economic problems using rigorous econometric techniques. This course will emphasize solid foundations and empirical applications with real data.
(* the updated course’s syllabus will be available to students at the beginning of each academic term)
General characterization
Code
6306
Credits
8
Responsible teacher
Prof Doutor Paulo M. M. Rodrigues
Hours
Weekly - Available soon
Total - Available soon
Teaching language
English
Prerequisites
n/a
Bibliography
Greene, W.H. (2003), Econometric Analysis; Prentice Hall,
5th edition (or higher).
Davidson, R. and J.G. MacKinnon (2004), Econometric Theory
and Methods; Oxford
University Press.
Hayashi, F. (2000), Econometrics; Princeton University
Press.
Stock and Watson (2003, 2007, 2011, Introduction to
Econometrics) is a nice read for those of you without any econometric
background.
Baltagi (2011, Econometrics, 5th ed – or older) is a bit sketchy but has a lot of exercises.
Teaching method
While lectures cover the core material, it is important that students supplement classroom time with pre-class preparation, through independent study. Background reading is strongly recommended.
Evaluation method
Students will be assessed on one assignment (40%) and a final exam (60%).
Subject matter
Part I
1. The classical linear model and ordinary least
squares.
2. Estimation and testing under classical assumptions.
3. Stochastic regressors.
4. Moving beyond OLS.
5. Principles of testing.
6. Generalized least squares.
7. Nonlinear models.
8. Instrumental variables and generalized method of
moments
Part II
1. Predictability
2. Factor Models and VARs
3. Resampling and Bootstrap Methods