Econometrics
Instructors
Yoichi ARAI
Credits / Language / Semester
4Credits / English / Summer
Objectives/Overview
The objecctive of this course is to study statistical methods for understanding economic activities thorugh data.We start with the basic statistical model and then we consider problems which are not covered by the basic model.
Keywords
Econometrics
Schedule
"1. The Nature of Econometrics and Economic Data
2. The Simple Regression Model
3. Multiple Regression Analysis: Estimation
4. Multiple Regression Analysis: Inference
5. Multiple Regression Analysis: OLS Asymptotics
6. Multiple Regression Analysis: Further Issues
7. Multiple Regression Analysis with Qualitative Information: Binary (or Dummy) Variables
8. Heteroskedasticity
9. More on Specification and Data Problems.
10. Pooling Cross Sections across Time: Simple Panel Data Methods
11. Advanced Panel Data Methods
12. Instrumental Variables Estimation and Two Stage Least Squares
13. Simultaneous Equations Models
14. Limited Dependent Variable Models and Sample Selection Corrections"
Teaching Methods
Class room teaching along with the practice session
Grading
Mini-exam 20%, midterm exam 30%, final exam 50%
Required Textbooks
Wooldrdige (2013),"Introductory Econometrics," 5th edition, Cengage Learning
Reference Books
Stock and Watson (2011), "Introduction to Econometrics," 3rd edition, Pearson.
Notes on Taking the Course
The practice session includes computer exercises using Stata