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Syllabus: Introduction To Econometrics (BDM 350)
Syllabus: Introduction To Econometrics (BDM 350)
Course Description
This is an introduction course in the theory and practice of classical econometric methods.
The course includes a review of probability theory, mathematical expectation and
theoretical probability distributions. Modeling techniques are also utilized for hypothesis
testing and economic forecasting. We will learn how to construct econometric models,
estimate the parameters of those models and interpret the parameter estimates.
Some basic knowledge of matrix algebra and elementary statistical theory will be assumed,
but a lot of it will be re-introduced during the lectures. Most of the standard texts contain
chapters dealing with these topics and students are advised to study them. The computer is
a fundamental tool in this course and students will be required to become familiar with the
Software R.
Pre-requisite
BCOR 250
Learning Objectives
Students will:
1. demonstrate an understanding of the basic concepts in econometrics;
2. relate economic questions to empirical observations and try to deal with those using
econometric models based on sound hypotheses;
3. have a working knowledge of a statistical software and use it to address empirical
questions.
1
Topics
0. Introduction and Overview of the Course.
1. Simple Regression Analysis : Definitions and basic ideas.
2. Properties of the Regression Coefficients and Hypothesis Testing : Hypothesis testing
and statistical inference.
3. Multiple Regression Analysis : The General Linear Regression Model, estimation by
Ordinary Least Squares, calculation and use of the Coefficient of Determination.
4. Tranformations and Dummy Variables.
5. Testing a Linear Restriction : Statistical inference in the General Linear Regression
Model : the T and F - Statistics.
6. Relaxing Assumptions of the Classical Model : Multicollinearity: problem and
resolution, specification errors, Generalized Least Squares, Heteroscedasticity and
autocorrelation : testing and elimination.
7. Panel data models : Organizing the Data as a Panel, The Pooled Model, The Fixed
Effects Model, The Random Effects Model.
Required Textbook
Evaluation
The final grade will be based on, midterm exam (20%), application exercises conducted in
computer laboratory (10%), home assignments (10%), and final exam (60%).