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Home > Spain > Barcelona > Programs > Program Overview > Course Requirements > Course Description
Business/Economics: ECONOMETRICS I
Universitat Pompeu Fabra (UPF)
Barcelona, Spain
| Subject Area(s) |
Level(s) |
Instruction in |
Credits |
Contact Hours |
Prerequisites |
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Business Management, Economics
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300
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Spanish/English
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3
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45
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N/A
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ECONOMETRICS I (10143)
Summary
In this course we study in detail the multivariate regression model, covering both the issues of estimation and hypothesis testing. We consider the implications of the basic hypotheses of the model in the economic context, and we analyse the consequences of the violation of such hypotheses and the methods to test them.
- Introduction: Identities and behavioural relationships. Endogeneity and Exogeneity. Single equation and Simultaneous equations models. Static and dynamic models.
- The general linear regression model: estimation. Criteria to obtain the estimators of the parameters of the model. The ordinary least squares estimation method (OLS). Properties of the OLS estimator. Hypothesis testing. Multicollinearity.
- Specification errors: the omission of relevant variables and the inclusion of irrelevant variables. Imposing wrong linear restrictions and non imposing correct restrictions.
- Qualitative explanatory variables: the dummy variables. The interpretation of their coefficients. The problem of structural stability: Chows test.
- Non spherical variance-covariance matrix of the disturbances: consequences for the estimation of the model by OLS. Generalised least squares estimator.
- The problem of heteroskedasticity: concept and possible explanatory factors. Testing homoskedasticity. The estimation of equations with heteroskedastic errors.
7. Autocorrelation: concept and possible explanatory factors. Test of no autocorrelation. Estimation.Bibliography
GUJARATI, D. Econometría. Mèxic: McGraw-Hill, 1997.
MARTIN, G.; LABEAGA, J. M.; MOCHÓN, F. Introducción a la econometría. Prentice Hall, 1997.
STOCK, J. H.; WATSON, M. W. Introduction to Econometrics. Addison Wesley, 2003.
WOOLDRIDGE, J. M. Introducción a la Econometría. Un enfoque moderno. Thomson Learning, 2001.
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