Econometrics

Objectives

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.

Trainees

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.

Textbook

Wooldridge, Jeffrey M. (2008). Introductory Econometrics: A Modern Approach. South-Western College Publishers, Fourth Edition (ISBN: 9780324581621).

Software

Stata

Course prerequisites

  • Basic statistics
  • Basic mathematics
Content of the course

The course will last for 5 days with the contents as follows:

Day 1

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

Day 2

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

Day 3

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

Day 4

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

Day 5

Chapter 16. Simultaneous Equations Models

Chapter 17. Limited Dependent Variable Models and Sample Selection Corrections

Chapter 18. Advanced Time Series Topics