2017/18
27423 - Econometrics I
Compulsory
5.3. Syllabus
PART I INTRODUCTION
1 Concept and Aims of Econometrics
1.1 The method of the Economic Science
1.2 Quantifying the Economic Theories
1.3 Model elements
1.4 The stages in the Econometric Methodology
PART II STATISTICAL INSTRUMENTS
2 Statistical concepts
2.1 Random variables. Moment Algebra
2.2 Expected values vector and variance-covariance matrix
2.3 Covariance matrix between two vectors
2.4 Multivariate normal distribution
2.5 Other probablility distributions
PART III MULTIPLE REGRESSION MODEL
3 The Multiple Regression Model. Specification and Estimation
3.1 The Classical Assumptions
3.2 Least Squares Estimation. Statistical properties
3.3 Maximum Likelihood Estimation. Statistical properties
3.4 Interval Estimation
3.5 Equation in Deviation Form
4 The Multiple Regression Model. Validity and Prediction
4.1 Introduction and Measures of Fit
4.2 Individual Hypothesis Testing about the Parameters
4.3 Joint Test of Hypotheses
4.4 Testing Linear Restrictions
4.5 Analysis of Variance
4.6 Prediction
5 Verifying the Classical Assumptions about the Non-random Part of the Model
5.1 Omitted Variables and Irrelevant Variables
5.2 Previous information about the coefficients. Restricted and Unrestricted Regressions
5.3 Multicollinearity
5.4 Functional form
5.5 Dummy Variables and Structural Change
5.4. Course planning and calendar
The Econometrics I course consists of 150 hours (6 credits ECTS), which are structured into 75 class hours and 75 non-class hours. Of the former, 30 will have a theoretical content, while another 30 hours will be devoted to practical sessions, and the remaining 15 hours will be tutorials. The distribution of time among the five units of the syllabus will depend on their complexity. In general terms, teachers will adopt the following schedule:
|
Unit 1
|
Unit 2
|
Unit 3
|
Unit 4
|
Unit 5
|
Total
|
Theoretical lessons
|
2
|
4
|
8
|
8
|
8
|
30
|
Blackboard Practices
|
1
|
4
|
2
|
4
|
4
|
15
|
Computer Practices
|
1
|
|
4
|
4
|
6
|
15
|
Tutorial
|
2
|
3
|
3
|
3
|
4
|
15
|
Total Hours
|
8
|
11
|
18
|
16
|
20
|
75
|
This distribution may be modified as the course progresses, and there may even be some differences between the groups. Voluntary testing will be incorporated into the schedule at the right time: the first in mid-course, and the second in one of the last two weeks.