Learning Outcomes
1. The student comes in touch with the basin concepts and techniques in theoretical and applied level.
2. The student comes aquires the ability to specificy, to estimate and evaluate econometric models.
3. The student can use econometric softwares.
4. The student knows how to analyse and interpret the econometric results.
5. The student is able to apply the aquired skills on real data.
Course Content (Syllabus)
Definition, purpose and stages of econometric analysis. Basic concepts of mathematics and statistics used in econometrics. The bivariate model. The regression line. The ordinary least squares method (OLS). The multivariate model. Statistical tests in univariate models. Coefficient of determination and other criteria. Explanatory variables of special form. Analysis of covariance. Coefficients’ stability tests. Alternative methods of estimation and specialized tests. The maximum likelihood method and the repetitive method of least square. The BLUS residuals of Theil. The generalized method of least squares and the method of major componenets. Criteria for specialized tests. The likelihood ratio criterion, the Wald criterion, the Lagrange multiplier criterion, the Jarque-Bera criterion, Hansen criterion, CUSUM and CUSUMQ criteria. Tests for special choices. The simplified form of the Cox-Box criterion. The Bera-McAleer criterion. The MacKinnon-White-Davidson criterion. Regression Residual Tests. Repetitive residuals tests. Test using the statistic d of Durbin-Watson. RESET test of Ramsey. Lagrange multiplier tests. The Hausman test. The Plosser-Schwert-White test. Linearity test. Other model selection criteria. The Akaike, Amemiya and Schwartz criteria. Nested and non-nested models. Tests for non-nested models. Tests using F statistic. The Davidson-MacKinnon J test. Discussion of selected economic subjects.