Applied Econometrics - QEM

Course outline

The aim of the course is to discuss how to apply basic economitric models to real-life problems.

Program of the course: download file

Materials

Book:

R.C. Hill, W.E. Griffiths, G.C. Lim, 2012 (4th Edition). Principles of Econometrics, Wiley
book page; eViews files and Stata files

Files

No.

theme

PoE Classwork
1 Introduction to Econometrics
presentation
Chapter 1
Probability primer
Appendix B
P1; P2; P3; P6; P7; P9; P13; P14;
B2; B3; B4
2 Regression Model
presentation
Chapters from 2 to 6
2.5; 2.6; 2.10; 2.11; 2.15
3.2; 3.3; 3.7; 3.8; 3.11; 3.12
4.2; 4.5; 4.13; 4.14
5.5; 5.19
6.9; 6.12;6.23
3 Indicator variable
presentation
Chapter 7 7.1; 7.2; 7.8; 7.10; 7. 11
7.3; 7.6; 7.15; 7.16
4 Autocorrelation and Heteroskedasticity
presentation
Chapters 8 and 9 8.3; 8.4; 8.6; 8.7; 8.8; 8.11; 8.12; 8.17; 8.19; 8.20;
9.1; 9.4; 9.6; 9.7; 9.8; 9.10; 9.14; 9.15; 9.16; 9.22; 9.23; 9.24; 9.25; 9.26; 9.27
5 Random Regressors
presentation
Chapters 10 10.3; 10.4; 10.5; 10.6; 10.7; 10.8

Some other files

- eViews descriptive statistics and distributions (pdf)
- files for estimating monetary policy reaction function (exercise and data in eViews or in xls)
- file for simulating multiequation model (deflatorEA.wf1)

Exam rules

Activity: 5 pts
Houseworks: 20 pts
Exam: 20 pts

Grades: