This course has the main following objectives:
- Provide trainees with knowledge of econometrics – the statistical methods applied in economics to test socio-economic hypotheses and forecast social-economic variables.
- Provide trainees data analysis and software skills to conduct regressions and tests.
- The course will focus mainly on the practical applications of econometrics.
The course is open to all; individuals who have basic statistics knowledge and are interested in the courses are encouraged to enroll . The course is relevant for graduate students and researchers from universities, research institutes, and ministries.
Wooldridge, Jeffrey M. (2008). Introductory Econometrics: A Modern Approach. South-Western College Publishers, Fourth Edition (ISBN: 9780324581621).
- Basic statistics
- Basic mathematics
Content of the course
The course will last for 5 days with the contents as follows:
Chapter 1. The Nature of Econometrics and Economic Data
Chapter 2. The Simple Regression Model
Chapter 3. Multiple Regression Analysis: Estimation
Chapter 4. Multiple Regression Analysis: Inference
Chapter 5. Multiple Regression Analysis: OLS Asymptotics
Chapter 6. Multiple Regression Analysis: Further Issues
Chapter 7. Multiple Regression Analysis with Qualitative Information: Binary (or Dummy) Variables
Chapter 8. Heteroskedasticity
Chapter 9. More on Specification and Data Problems
Chapter 10. Basic Regression Analysis with Time Series Data
Chapter 11. Further Issues in Using OLS with Time Series Data
Chapter 12. Serial Correlation and Heteroskedasticity in Time Series Regressions
Chapter 13. Pooling Cross Sections Across Time. Simple Panel Data Methods
Chapter 14. Advanced Panel Data Methods
Chapter 15. Instrumental Variables Estimation and Two Stage Least Squares
Chapter 16. Simultaneous Equations Models
Chapter 17. Limited Dependent Variable Models and Sample Selection Corrections
Chapter 18. Advanced Time Series Topics