Universidad Carlos III de Madrid
DEPARTAMENT OF ECONOMICS

Econometrics I: Multiple Regression & Inference
MASTER IN INDUSTRIAL ECONOMICS AND MARKETS
César Alonso
Despacho: 15.2.55
E-mail: alonso1@eco.uc3m.es
Tel: (+34) 91 624 9749
Tutorials: Wednesday, 15:15-16:15		 Ricardo Mora
Room: 15.2.08
ricmora@eco.uc3m.es
(+34) 91 624 9576
Tutorials: Wednesday, 14:00-15:00

This course aims at providing the student with basic econometric skills used in empirical microeconomic research. The student should gain an understanding and working knowledge of using econometric basic linear techniques for cross sections and an introduction to panel data techniques.

Basic Bibliography

JEFFREY M. WOOLDRIDGE "Introduction to Econometrics: A modern approach" Thomson USA, Second Edition.
ARELLANO, MANUEL. Panel Data Econometrics. Oxford, 2003.
ARTHUR S. GOLDBERGER "Introductory Econometrics" Harvard University Press.
A. COLIN CAMERON AND PRAVIN K. TRIVEDI "Microeconometrics using Stata" STATA Press.
Spanish editions:
JEFFREY M. WOOLDRIDGE "Introducción a la econometría: Un enfoque moderno" Thomson España, Segunda Edición.
ARTHUR S. GOLDBERGER "Introducción a la Econometría" Ariel Economía.

Other References
A. COLIN CAMERON AND PRAVIN K. TRIVEDI "Microeconometrics: Methods and Applications" Cambridge University Press, USA.

Course Organization
Time: 16:30-19:00
Session
 Date/Room
 Topic
 Lecturer
 Materials
1
 15 Oct/11.2.07
 Economic data and Econometric Modelling: Correlation and Causality. Observational vs. Experimental data. Consequences on Econometric Analysis.
 César Alonso
2
 16 Oct/11.2.07
 The Simple Linear Regression Model: Assumptions. Coefficient interpretation. The analog principle and the OLS estimator. Inference: hypothesis testing about a single parameter.
 César Alonso
3
 22 Oct/11.2.07
 The Multiple Linear Regression Model (I): Assumptions. Relation with the simple regression: Short vs. Long regression. Coefficient interpretation. OLS estimation.
 César Alonso
4
 23 Oct/11.2.07
 The Multiple Linear Regression Model (II): Inference. Tests about a single constraint. Tests about several linear constraints. Qualitative information: binary (dummy) variables.
 César Alonso
5
 29 Oct/15.S.01
 Stata Programming: do files and log files. Using results from Stata commands. Linear Regression Basics. (Cameron & Trivedi, Ch. 1, 2, 3.1:3.4) Ricardo Mora
 Slides
6
 30 Nov/15.S.01
 Examples of Stata Programming
 Ricardo Mora Examples
7 5 Nov/15.S.01
 Computer Practice 1:  Basic Regression Analysis using Stata
 Ricardo Mora Computer Practice 1,  Problem  Set 2 (Deadline: November, 26th)
8
 12 Nov/15.S.01
 IV Estimation: Motivation. IV estimation of the MR model. (Wooldridge, Ch. 15.1 & 15:2; Cameron & Trivedi, Ch. 6) Ricardo Mora Slides
9
 19 Nov/15.S.01
 2SLS: Two Stage Least Squares. IV solutions to errors-in-variables problems. Ricardo Mora Slides
10
 26 Nov/15.S.01
 2SLS: Testing endogeneity and overidentifying restrictions. (Wooldridge, Ch. 15.3:15.5; Cameron & Trivedi, Ch. 6) Ricardo Mora Slides
11
 3 Dec/15.S.01
 Computer Practice 2: IV and 2SLS using Stata. Ricardo Mora Computer Practice 2, Problem Set 3 (Deadline: 8th January)
12
 10 Dec/15.S.01
 GMM Estimation: Motivation. The methods of moments. The generalized method of moments. Testing Over-identifying restrictions. (Arellano, Appendix A; Cameron & Trivedi, 11.8, 10.3.8 & 17.5.2) Ricardo Mora Slides
13
 17 Dec/15.S.06
 Examples of GMM Estimation: Non-linear Rational Expectations. The Permanent Income Hypothesis. The log of Gravity. Non-linear IV estimation. (Cameron & Trivedi, 10.3.8 & 17.5.2).
Ricardo Mora Slides
14
 8 Jan/15.S.01
 Computer Practice 3: GMM Estimation using Stata.
 Ricardo Mora Slides, Problem Set 4 (Deadline: 31st January)
15
 29 Jan Feb
 Exam


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