|
Objectives
To acquire a broad theoretical and practical knowledge of the linear regression model. Being able to use regression analysis correctly in applied economic research. Being able to interpret estimation and testing results and being capable of building a satisfactory empirical model. Finally, to gain experience in applying regression analysis to real world economic data.
Contents
This course is about regression analysis, which in applied economics is a powerful tool to analyse empirical relationships. First, the linear regression model will be discussed, its estimation with ordinary least squares (OLS) and testing hypotheses with t- and F-tests. Particular attention will be paid to the statistical assumptions underlying the basic model. These assumptions should be valid in applications in order to give reliable outcomes. Secondly, the focus will be on various specification issues: multicollinearity, functional form and qualitative variables. And third, the consequences of deviations from the statistical assumptions underlying OLS (and t- and F-tests) will be examined. We will focus on heteroskedasticity, autocorrelation, omitted variable bias and simultaneity bias and their effects on estimation and hypothesis testing. The student will learn how to detect possible misspecification with formal statistical tests and how to adapt statistical inference methods in order to get reliable estimation and testing outcomes. The alternative estimation technique Maximum Likelihood, and in particular the probit and logit model, will be discussed as well. In computer class the estimation techniques and testing procedures are applied to real world economic data.
Registration at
Please go to https://www.sis.uva.nl
Format
Two hours of lectures, two hours of tutorials and two hours of computer class per week. During the tutorial students will have the opportunity to ask questions, difficult concepts are explained, some exercises are discussed and students will have the opportunity to work on exercises.
Time
Please go to http://rooster.uva.nl
Study materials
- Stock, J.H. and Watson, M.W. Introduction to Econometrics. Pearson Education (most recent edition). Available at the Sefa desk.
- other course material, e.g. lecture notes, additional data sets or (computer) exercises, is available on the Blackboard site of this course at http://blackboard.ic.uva.nl/.
Assessment
- the final grade consists of: a midterm (30%, two hours) and a final written examination (70%, two hours). The score of the final examination has to be higher or equal than 5.0;
- kind of questions: open questions;
- complementary examination rules: compulsory participation in a computer test (grade has to be sufficient);
- in the case of a resit (three hours), the results obtained for the partial examinations will be disregarded. During a resit, the full course material will be tested.
Examination date
Please go to http://rooster.uva.nl and http://www.student.uva.nl/feb-academicyear .
|