Econometrics

Objectives

Students should be able to estimate economic models and to develop the relevant statistical inference. In order to do it, students must acquire the knowledge which enables them to:

- Understand the theory behind the establishment of relations between different economic variables;

- Distinguish between different types of economic variables;

- Understand the ordinary least squares method;

- Test the significance of individual parameters;

- Construct the ANOVA table;

- Implement the RESET test;

- Test heteroscedasticity and understand its consequences;

- Apply the weighted least square method;

- Test autocorrelation and understand the consequences of autocorrelation;

- Apply estimation methods dealing with autocorrelation;

- Understand and apply limited dependent variable models.

- Use software that allows the practical implementation of the knowledge acquired in the course.

Program

I. Introduction

II. The Simple Linear Regression Model.

III. The Multiple Linear Regression Model: Estimation

IV. The Multiple Linear Regression Model: Statistical Inference

V. The Multiple Linear Regression Model: Qualitative Information

VI. Heteroscedasticity

VII. Specification with the Linear Regression Model

VIII. The regression model with time-series

IX. Autocorrelation and Heteroscedasticity with time series

X. Models with Instrumental Variables and Two Stages Least Squares.

XI. Limited Dependent Variable Models and Sample Selection Models

XII. Advanced Topics with Time Series Models.

Teaching Methodologies

The teaching methodology focuses on the following three aspects:

- detailed presentation of theory behind each of the topics with mathematical proofs of the main results;

- resolution of numerical exercises after the theoretical exposition of each chapter. It consists of small exercises which help the student to understand the different topics, giving clues to the technical implementation.

- resolution of practical cases using SPSS software. It is intended to give to the students the knowledge necessary in order to use a technology which allows estimating models and making the respective statistical inference.

Bibliography

Textos de apoio:
Wooldridge, J. (2009), Introductory Econometrics: a Modern Approach, South-Western Cengage Learning, 4ª
Edição.
Oliveira, M., A. Aguiar, A. Carvalho, F. Martins, V. Mendes e P. Portugal (1997), Econometria-Exercícios, McGraw-Hill.
Outros textos:
Damodar Gujarati and Dawn Porter (2003), Basic Econometrics. McGraw-Hill, 4ª Edição.
G. S. Maddala e Kajal Lahiri (2009), Introduction to Econometrics. John Wiley & Sons, 4ª Edição.
William H. Green (2008), Econometric Analysis, Prentice Hall, 7ª Edição.