EI035: Econometrics I
Graduate Institute of International and Development StudiesE040 - Fall 2015 - Course - 6 ECTS
Professor: Nicolas Berman (nicolas.berman – at – graduateinstitute.ch)
Office Hours: Tuesdays 16:00-18:00
Teaching Assistant: Daniele Rinaldo (daniele.rinaldo – at – graduateinstitute.ch)
Lectures: Tuesdays 10:15-12:00 (S4)
Review Sessions: Thursdays, 16:15, S4
Course Description
This is an introductory to intermediate econometrics course for first year master students aiming at covering a large spectrum of econometric techniques. After a review of the multiple regression model, the course will deal with generalizations and extensions, such as instrumental variables, panel data, discrete dependent variables, censored variables models. The course is applied-oriented, with weekly review sessions containing problems solving and problem sets using Stata software. Problem sets will focus on applications in the fields of international trade, open macroeconomics and development economics.
Pre-requisite
Basic knowledge of statistics, probabilities and matrix algebra is required. Students can refer to the appendixes A to D (included) of Wooldridge “Introductory econometrics”. It is very important to look at this before the beginning of the course. Most econometrics textbooks (for instance Greene, see below) contain appendixes dealing with the most important pre-requisites of the study of econometrics.
Some useful notes about statistics and probability; matrix algebra
(see also appendixes of Wooldridge I and Greene)
References
Most of the topics covered in class are presented at a more introductory level in Jeffrey Wooldridge, Introductory Econometrics: A Modern Approach, 4th edition. The material presented in Wooldridge is generally too introductory, so that the lectures will rely on more advanced econometric textbooks for the proofs of theorems and matrix algebra. You can refer to:
- William H. Greene, Econometric Analysis, sixth edition, Pearson
- J. Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press, 2002
A nice complement for the intuitions behind the results is P. Kenney, "A guide to econometrics".
Abbreviations
“Wooldridge I” for Jeffrey Wooldridge, Introductory Econometrics: A Modern Approach, 4th edition.
“Wooldridge II” for J. Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press, 2002
“Greene” for William H. Greene, Econometric Analysis, Prentice Hall
Structure of the course and grading
The lectures will mainly focus on econometric theory, associated with practical examples. Weekly review sessions will contain problems solving, and computer applications using Stata software. The final grade will be based on two problem sets containing both mainly mathematical exercises and computer applications (with a focus on computer applications), on a midterm exam, and on a final exam. Problem sets have to be done in groups of no more than four students (the number can vary depending on the number of registered students). Review sessions will focus more on theoretical exercises. Grading criteria are the following: 30% problem sets, 35 % midterm, 35% final exam.
Introduction to stata
Review Sessions and problem sets: see moodle
Class notes
Chapter I: OLS estimation of the MLR
Summary of first half of the course
Chapter VI: Instrumental variables
Chapter VII: Limited dependent variables
Appendix: Properties used in the proofs
Lectures slides
Chapter 0: Introduction, simple regression model
Chapter II: OLS inference Slides on how to get the t-stat Statistical tables
Chapter III: Asympotics Proof consistency and asymptotic normality
Chapter VI: Instrumental variables
Chapter VII: Limited dependent variables
Chapter VIII: Sample selection
Stata examples
Chapters I and II: (Testscore + Growth examples)