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Simple and multiple regression, elementary time-series analysis, introduction to econometric modelling.
This course teaches basic skills in econometrics, which is the statistical analysis of economic data. The emphasis in this class is on doing! Over the course of the semester, you will learn how to (i) develop a regression model, (ii) estimate it, and (iii) interpret it. General topics that we will cover include OLS regression, prediction, dummy variables, model specification, model selection, robust standard errors, time series forecasting, endogeneity, and qualitative choice models (logit and probit). You will gain much hands-on experience estimating statistical models using the software package EViews.
Learning Goals. In this course you will learn how to:Estimate relationships between variables using OLS regressionInterpret OLS regression outputInterpret coefficient estimates in linear regression models, including coefficients for dummy variables, interaction effects, and quadratic terms; in both linear, logged and semi-logged specificationsTest linear hypotheses about regression coefficients, and know how to interpret those testsUse regression output to predict values of the dependent variable for given values of the explanatory variablesUse higher level modelling skills to develop, estimate, and analyse your own economic modelUnderstand (i) what serial correlation and heteroskedastity are, (ii) their consequences for OLS regression, and (iii) how to estimate “robust” standard errorsRecognize applications where endogeneity is likely to be a problem, and understand its consequences for OLS regressionIdentify good instrumental variables and use 2SLS to correct for endogeneity biasCritically analyse the results of 2SLS estimation to determine whether 2SLS represents an improvement over OLSDevelop univariate ARMA models for forecasting time series dataUnderstand the consequences of using OLS to estimate regression models with a binary dependent variableEstimate logit and probit models, and know how to interpret and evaluate the output from estimating those modelsIdentify some common practical problems encountered in model estimation, and know how to address these problemsBecome proficient in the use of EViews statistical softwareUnderstand 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.
(1) ECON104 or ECON105; and (2) 15 points from STAT or MSCI110. RP: MATH101 or Year 13 Math with Calculus.
ECON214
MATH101 or Year 13 Math with Calculus.
Bob Reed
Dennis Halcoussis; Understanding Econometrics ; South-Western (This is out of print. You can purchase a custom-published hard copy version, or get the e-book via www.cengagebrain.co.nz. Enter "CP0602 Understanding Econometrics" in the search box).
Course Outline
Domestic fee $775.00
International fee $3,188.00
* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.
For further information see Department of Economics and Finance .