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Econometrics

Опубликовано на портале: 30-08-2003
Язык: Английский
Тематические разделы: Экономика, Эконометрика

Aннотация:
This course will introduce econometric analysis of linear models, both theory and application.



This course will introduce econometric analysis of linear models, both theory and application.
The course grade will be based on two exams (30 percent each), 6-7 problem sets (20 percent), and an empirical paper (20 percent). Problem sets will be posted on the class web page, http://web.mit.edu/14.31/www/
Texts.
The required texts are Econometric Models and Economic Forecasts by Pindyck and Rubinfeld and The Practice of Econometrics, Classic and Contemporary by Berndt.

B>Course Outline Chapters in parentheses are from Pindyck and Rubinfeld (PR) and Berndt (B)
Review of Probability and Statistical Inference (PR: ch 2): Random variables, expectation and variance, point and interval estimation, hypothesis testing
Simple Linear Regression (PR: ch 1, 3): Least squares estimation, statistical properties of estimates, goodness of fit
Multiple Regression (PR: ch 4, 5) (B: ch 3, 4, 5): Estimation of regression coefficients, tests of linear restrictions, dummy variables, prediction
Heteroskedasticity and Autocorrelation (PR: ch 6)(B: ch 6): Generalized least squares estimation
Specification Error (PR: ch 7)(B: ch 8, 10): Omitted variables, nonlinearities, measurement error, simultaneous equations
Advanced Topics (B: ch 11): Panel data, discrete choice models, time series


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См. также:
Donald Wilfrid Kao Andrews
Journal of Econometrics. 1988.  Vol. 37. No. 1. P. 135-157. 
[Статья]
Christian Gourieroux, Alain Monfort, Alain Trognon, Eric Renault
Journal of Econometrics. 1987.  Vol. 34. No. 1-2. P. 5-32. 
[Статья]
John Aitchison, Samuel D. Silvey
Biometrika. 1957.  Vol. 44. No. 1/2. P. 131-140. 
[Статья]