Econometrics I

Code:

LEC304

Acronym:

ECO I

Keywords
Classification	Keyword
OFICIAL	Economics

Instance: 2004/2005 - 1S

Active?	Yes
Responsible unit:	Grupo de Economia
Course/CS Responsible:	ECONOMICS

Cycles of Study/Courses

Acronym	No. of Students	Study Plan	Curricular Years	Credits UCN	Credits ECTS	Contact hours	Total Time
ECO	763	Official Curricular Structure since 2004	3	2		-

Objectives

The course is designed for a one-semester introduction to Econometrics. Pre-requisites for the course are a solid background in Economic Theory (both Micro- and Macroeconomics,) in Statistics and in Linear Algebra.
The course's main objective is in interpreting, understanding and evaluating the findings of elementary econometric analysis.

Program

0. INTRODUCTION: subject and methodology of Econometrics
1. THE LINEAR REGRESSION MODEL: elementary concepts and notation; least squares (OLS) estimators of the regression coefficients; coefficient of determination; assumptions of the classical model of linear regression; properties of the OLS estimators; the estimator of the variance of the disturbances
2. EXTENSIONS OF THE LINEAR REGRESSION MODEL: choosing a functional form; dummy variables; models for the trend and seasonal components
3. INFERENCE IN THE LINEAR REGRESSION MODEL: the normality assumption; maximum likelihood (ML) estimators; testing hypothesis about a single coefficient; testing hypothesis about linear restrictions on coefficients; testing the overall significance of the regression; forecasting; testing the equality between sets of coefficients in two regressions

Main Bibliography

Damodar N. GUJARATI, Basic Econometrics, 4th ed., McGraw-Hill, New York, 2003.

M. Mendes de OLIVEIRA et al., Econometria: Exercícios, McGraw-Hill de Portugal, Lisbon, 1997.

Complementary Bibliography

William H. GREENE, Econometric Analysis, 5th ed., Prentice-Hall Inc., Upper Saddle River, New Jersey, 2003.
R. Carter HILL, William GRIFFITHS and George JUDGE, Undergraduate Econometrics, John Wiley and Sons, New York, 1997.
Jack JOHNSTON and John DINARDO, Econometric Methods, 4th ed., McGraw-Hill, New York, 1997.
Jeffrey M. WOOLDRIDGE, Introductory Econometrics: A Modern Approach, South-Western College Publishing, 2000.

Teaching methods and learning activities

The course aims at laying out the fundamental principles of regression analysis and is more of a theoretical nature. A few examples and illustrations will be presented in class, but the bulk of applied work is deferred to the second-semester sequel to the course, when students will have the opportunity to attend classes in computer labs.

Evaluation Type

Evaluation with final exam