Introduction to Econometrics

Learning Outcomes

• Learning Goals for ECON213:
  
• Estimate relationships between variables using OLS regression
  
• Interpret OLS regression output
  
• Interpret coefficient estimates in linear regression models, including coefficients for dummy variables, interaction effects, and quadratic terms; in both linear, logged and semi-logged specifications
  
• Test linear hypotheses about regression coefficients, and know how to interpret those tests
  
• Use regression output to predict values of the dependent variable for given values of the explanatory variables
  
• Use higher level modelling skills to develop, estimate, and analyse your own economic model
  
• Understand (i) what serial correlation and heteroskedastity are, (ii) their consequences for OLS regression, and (iii) how to estimate “robust” standard errors
  
• Recognize applications where endogeneity is likely to be a problem, and understand its consequences for OLS regression
  
• Identify good instrumental variables and use 2SLS to correct for endogeneity bias
  
• Critically analyse the results of 2SLS estimation to determine whether 2SLS represents an improvement over OLS
  
• Develop univariate ARMA models for forecasting time series data
  
• Understand the consequences of using OLS to estimate regression models with a binary dependent variable
  
• Estimate logit and probit models, and know how to interpret and evaluate the output from estimating those models
  
• Identify some common practical problems encountered in model estimation, and know how to address these problems
  
• Become proficient in the use of EViews statistical software
  
• Understand the theory underlying OLS and GLS estimation.
  
• Mathematically derive the formulae for calculating OLS and GLS (i) regression coefficients and (ii) standard errors, using both summation operators and matrix calculus.

Prerequisites

Recommended Preparation

For further information see Department of Economics and Finance .