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.
1. The Simple Linear Regression Model and the Multiple Linear Regression Model
2. The Linear Regression Model with qualitative information
3. Heteroscedasticity
4. Specification of the Linear Regression Model
5. The Linear Regression Model with time series
6. Autocorrelation and heteroscedasticity with time series
7. Models with instrumental variables and the Two-Step Least Squares method
8. Models with limited dependent variable
9. Advanced Time Series Topics
The teaching methodology focuses on the following three aspects:
- theoretical exposition of the topics, with a detailed presentation of each of the themes and mathematical demonstration of the main results.
- solving numerical exercises proposed by the professor, which will always take place after the theoretical exposition of each chapter. These are small exercises that help to understand different themes, giving clues about their practical application.
- solving practical cases using SPSS software. The aim of this activity is to provide students with the knowledge necessary to use technology that allows them to estimate models and carry out the respective statistical tests.
Green, W. H. (2018), Econometric Analysis, Prentice Hall, 8ª Edição
Gujarati, D. e Porter, D. (2003), Basic Econometrics. McGraw-Hill, 4ª Edição
Maddala, G. S. e Lahiri, Kajal (2009), Introduction to Econometrics. John Wiley & Sons, 4ª Edição
Oliveira, M., A. Aguiar, ACarvalho, F. Martins, V. Mendes e P. Portugal (1997), Econometria-Exercícios, McGraw-Hill
Wooldridge, J. (2019), Introductory Econometrics: a Modern Approach, South-Western Cengage Learning, 7ª Edição
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