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ECONOMETRICS

Learning outcomes:

On successful completion of this module students will be able to:

  • Design and estimate a model of linear regression.
  • Use an econometric software package (e.g. E-views) in the implementation of econometric techniques.
  • Critically evaluate and assess econometric models and their results.
  • Critically evaluate and assess the results of diagnostic tests.

Features

  • Code :             X53
  • Semester :     5th
  • Effort :              7.5 ECTS
  • Hours :             2 per week + 1 Exercise
  • Type :                Mathematics
  • Department : Economics
  • Exams :             Yes

Course Contents:

  • Introduction to Econometrics
  • Single-Equation Regression Models
    • Two-variable regression model: Basic concepts, model estimation, Ordinary Least Squares Method (OLS), Coefficient of Determination.
    • Classical Normal Linear Regression Model (CNLRM)
    • Two-variable regression model: Interval estimation and hypothesis testing.
    • Extensions of the two-variable linear regression model
    • Multiple Regression Analysis: The problem of estimation; The problem of Inference
    • Dummy Variable Regression Models
  • Relaxing the assumptions of the classical model and diagnostic tests of residuals.
    • Normality assumption of residuals
    • Multicolinearity
    • Heteroskedasticity
    • Autocorrelation

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