Class Econometrics I

The subject of Econometrics I aims to provide the ability to incorporate the postulates of economic theory into mathematical and statistical models with a view to quantification, to learn the methods and techniques for analysing linear regression and to familiarise oneself with econometric software, in particular STATA, to support the outputs of econometric analyses.

Not applicable

I. Linear Regression Model: Cross-Sectional Data: Specification, Estimation and Inference; Endogenous Explanatory Variables II Cross-Sectional Data: Specification; Endogenous Explanatory Variables and Exogenous Explanatory Variables. Violation of assumptions, Quality of adjustment, Hypothesis tests iii. Diagnosis of normality, multicollinearity and heteroscedasticity. iV. Fixed Effects and Random Effects in Static Models; Hausman Test; Wald Tests, Heteroscedasticity, Autocorrelation. V. Panel corrected standard errors (PCSE) estimation model Post-estimation tests VI. Dynamic Panel Data Models: Fixed Effects and Random Effects Models: with bias correction.    

Teaching is based on theoretical-practical classes, with a small number of students, in which, after theoretical content has been transmitted, students solve practical exercises that help them understand the concepts and put their knowledge into practice. When solving exercises, priority is given to the use of real data on theoretical modelling of economic models and/or theories, which will be validated using appropriate econometric software, in particular STATA. The interpretation of all the outputs associated with the models and tests estimated in each case study will be a continuous learning component in applied econometrics. 

- Wooldridge, Jeffrey M., Introductory econometrics: a modern approach. 7th ed., South-Western/Cengage Learning, 2019 - Asteriou, Dimitrios e Hall, Stephen G., Applied Econometrics, Palgrave Macmilan, 4th Ed., 2021