EI035 - Econometrics

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, 4^th 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

In English

Review Sessions and problem sets: see moodle

Class notes

Chapter I: OLS estimation of the MLR

Chapter II: OLS inference

Chapter III: Asympotics

Chapter IV: GLS

Summary of first half of the course

Chapter V: Panel data

Chapter VI: Instrumental variables

On IV: Murray (2006)