Topic outline
Topic 1: Introduction to Econometric Methods
1. Review of your knowledge from the Statistics course.
2. Introduction to the subject.Topic 2: Linear Regression with One Regressor
- The simple linear model;
- Least Squares regression with one explanatory variable;
- Derivation of the regression coefficients;
- Interpretation of a regression equation;
- Goodness of fit: R2.
Lab class by using STATA for Linear regression with one Regressor
1. Open STATA ;
2. Download Data file;
3. Open files with exercises and start with exercise 1.4.
4.. Download available do files as an example.
Topic 3: Properties of the regression Coefficients and Hypothesis test and confidence intervals
- Assumptions for regression models with not-stochastic regressors.
- The random components and unbiasedness of the OLS regression coefficients .
- Precision of the regression coefficients.
- Testing hypotheses relating to the regression coefficients.
- The F test of goodness of fit.
Lab class in STATA for Chapter #2 or Topic #3
1. Open the study guide for Chapter #2 and additional exercises for chapter #2.
2. Solve the following exercises A2.3; A2.4;A2.5; A2.6.
3. Solve the exercises 2.2; 2.8; 2.14; 2.26; 2.29 from additional exercises.
Topic 4: Multiple regression analysis
- Derivation and interpretation of the multiple regression coefficients;
- Properties of the multiple regression coefficients;
- Multicollinearity;
- Godness of fit: R2;
- Prediction.
Lab class in STATA for Topic 4 or Chapter#3
- Open the Study guide for chapter #3;
- Solve the exercises A3.1, A3.2, A3.3;
- Open additional exercise and solve the following 3.7;3.8; 3.10 and 3.14.
Topic 5: Nonlinear Models and Transformations
- Linearity and non-linearity;
- Logarithmic transformations;
- Models with quadratic and interactive variables;
- Non-linear regression.
Lab class in STATA for Topic 5 or chapter #4
- Open study Guide for Chapter #4;
- Solve the following exercises: A4.4 and A4.8;
- Open additional exercises_Chapter #4 ;
- Solve the following exercises:4.1-1.3:
Topic 6: Dummy Variables
- Illustration of the use of a dummy variable;
- Extension to more than two categories and to multiple sets of dummy variables;
- Slope dummy variables;
- The Chow test
Lab Class in STATA for Topic 6 or chapter #5
- Open additional exercises for chapter #5;
- Solve the following exercises: 5.1;5.3; 5.6;5.11;5.15.5.19.
Topic 7: Heteroscedasticity
- Heteroscedasticity and its implications;
- Detection of heteroscedasticity;
- Remedies for heteroscedasticity;
Lab class in STATA for Topic 7 or Chapter #7
- Open additional exercises;
- Solve the following exercises: 7.1,7.2,7.7.
Topic 8: Autocorrelation and testing Normality assumptions
- The problem of autocorrelation;
- Testing autocorrelation: Durbin-Watson and Breush-Godfrey tests;
- Remedies for autocorrelation.
- Testing the Normality assumption.