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Econometrics

COORDINATORMiguel A. Delgado

DESCRIPTION:

This course offers an introduction to data analysis in Social Sciences with the assistance of the multiple regression model. The emphasis is on the interpretation of the model and the application of statistical inference techniques to solve relevant practical problems. The course discusses in detail how to make inferences under non-standard situations, relevant in Social Sciences, due to the nature of the variables in the model (qualitative, transformed to allow nonlinear relations or non-observable,) or to the nature of data. The rigorous formal justification of the applied statistical inference techniques is out of the scope of this course. The background in Probability, Statistics, Algebra and Calculus offered in Mathematics I & II and Statistics I & II is more than enough for this course.

At the end of the course, the student will acquire a good working knowledge on the interpretation of the linear regression model, discriminating between alternative specifications by means of statistical inference, and using GRETL for estimation and hypothesis testing.

PRE-REQUISITES:

Some knowledge of linear algebra, calculus and statistical theory is required, which is provided by Mathematics for Economics I & II and Statistics I.

SYLLABUS: 

1. The nature of econometrics and economic data (SW. Ch. 1)
2. The simple regression model (SW. Ch. 4,5).
3. Multiple regression analysis: estimation (SW Ch. 6)
4. Multiple regression analysis: inference (SW. Ch. 7)
5. Nonlinear regression using linerar multiple resgression (SW. Ch. 8).
6. Regression with binary  dependent variable( SW. Cp. 11).
7. Instrumental variables estimation and two stages least squares (SW. Cp. 12).



EVALUATION:

The continuous evaluation consists of 2 exams during the course, whose grade will depend also on the homeworks handed in according to the instructor criteria. The continuous evaluation will only count if the grade in the final exam is bigger or equal than 4.5 (45%).

TEXTBOOK AND ONLINE RESOURCES:

Stock, J.H. y Watson, M.M., Introduction to Econometrics, 3rd Edition, Addison Wesley, 2012.

REFERENCE:

Goldberger, A.S..Introducción a la Econometría·Ariel·2001
Greene, W.H..Análisis Econométrico·Prentice Hall·1998
Gujarati, D.N..Econometría·McGraw-Hill·2010
Wooldridge, J.M. Introductory Econometrics: A Modern Approach. South Western. 2013.

 


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