Econometrics

The overall objective of the course is that the student acquire skills to design advanced econometric models using economic theory, data and econometric software. After completing the course the students should be able to:

• Derive estimators such as ordinary and weighted least squares, moment and maximum likelihood. (1)
• Choose between alternative model specifications based on appropriate statistical tests. (2)
• Identify the endogeneity problem and possible solutions. (3)
• Explain and interpret models such as Logit, Probit and Tobit. (4)
• Explain and interpret the uni-and multivariate time series models. (5)
• Explain and interpret basic panel data models. (6)
• Motivate the application of a specific econometric model. (7)
• Estimate and interpret models such as linear regression, Logit, Probit, Tobit, ARMA, Fixed and Random effects panel data models. (8)
• Find scientific articles that apply econometric methods. (9)
• Apply econometric methods and report and present the results in a structured and linguistically correct manner. (10)

The course starts with the derivation of the least squares estimator (OLS). OLS properties are discussed using the classical Gauss-Markov assumptions. The generalized least squares method (GLS) is presented for cases where the simplifying assumptions do not hold. Various issues regarding model specification such as the appropriate functional form are reviewed. Simultaneous equation models are discussed in connection to instrumental variable estimators. The maximum likelihood estimator is introduced in connection to the estimation of the Logit, Probit and Tobbit models. Time Series Models and issues such as nonstationarity and unit root tests are discussed. Estimation and interpretation of the uni-and multivariate time series models are reviewed. Panel data and estimation and interpretation of the fixed and random effects models are discussed.

The course is assessed by a written exam, equivalent to 6 credits (U-VG) and a project report, equivalent to 1.5 credits (U-G). The written exam examines learning objectives 1 to 6, while the project report examines primarily learning objectives 7 to 10. To pass the course, at least grade G on both the exam and the project report are required. The project report should follow the instructions for written reports and are available on the course website on Fronter.

Lectures, computer exercises and assignment. Lectures consist of theory review whereas computer exercises are concerned with practical applications. Students will also undertake a project involving the application of econometric methods and reporting of results.

The Swedish grades U–VG.

The maximum number of exam occasions is five.
Replaces NA3002.