Econometrics

Econometrics
Bachelor in Business Administration
Departamento de Economía
Compulsory
ECTS Credits : 6.0
Semester : 2
Course : 2

COMPETENCES AND SKILLS THAT WILL BE ACQUIRED AND LEARNING RESULTS.
This course offers an introduction to data analysis in Social Science with the assistance of the multiple regression model. The emphasis is on the interpretation of the model and the application of statistical inference techniques to solve relevant practical problems. The course discusses in detail how to make inferences under non-standard situations, relevant in Social Sciences, due to the nature of the variables in the model (qualitative, transformed to allow nonlinear relations or non-observable,) or to the nature of data. The rigorous formal justification of the applied statistical inference techniques is out of the scope of this course. The background in Probability, Statistics, Algebra and Calculus offered in Mathematics I & II and Statistics I & II is more than enough for this course. At the end of the course, the student will acquire a good working knowledge on the interpretation of the linear
regression model, discriminating between alternative specifications by means of statistical inference, and using GRETL for estimation and hypothesis testing.

DESCRIPTION OF CONTENTS: PROGRAMME
This course offers an introduction to data analysis in Social Science with the assistance of the multiple regression model. The emphasis is on the interpretation of the model and the application of statistical inference techniques with the objective of solving relevant practical problems. The course discusses in detail how to make inferences under non-standard situations, relevant in Social Sciences, due to the nature of the variables in the model (qualitative, transformed to allow nonlinear relations or non-observable) or to the nature of data.

The course follow Chapters 1 to 8 and 15 of Wooldridge (2009).

Syllabus:
1. The nature of econometrics and economic data (Wooldridge Ch. 1)
2. The simple regression model (Wooldridge Ch. 2).
3. Multiple regression analysis: estimation (Wooldridge Ch. 3)
4. Multiple regression analysis: inference (Wooldridge Ch. 5)
5. Multiple regression analysis: OLS asymptotics (Wooldridge Ch. 5)
6. Multiple regression analysis: further issues (Wooldridge Ch. 6)
7. Multiple regression analysis with qualitative information: binary (or dummy) variables (Wooldridge Ch. 7).
8. Heteroskedasticity (Wooldridge Ch. 8).
9. Instrumental variables estimation and two stages least squares (Wooldridge Ch. 15).

LEARNING ACTIVITIES AND METHODOLOGY
The free software GRETL is the main learning tool of this course. The different concepts are discussed in the context of analyzing relevant cases of study in Social Sciences using real data.
Homeworks, to be handed in class periodically, require to use GRETL.
The text of the course is Wooldridge (2003). Chapters 1-8 and the 15 are covered. Data sets and cases of study discussed are those of this textbook.

ASSESSMENT SYSTEM
The continuous evaluation consists of 2 exams during the curse, whose grade will depend also on the homeworks handed in according to the instructor criteria.
Continuous Evaluation Grade = Exam 1 × 0,3 + Exam 2 × 0,7
"Convocatoria Ordinaria" Final Grade = Continuous Evaluation × 0,4 + Final × 0,6
"Convocatoria Extraordinaria" Final Grade= max{Continuous Evaluation × 0,4+ Final × 0,6; Final}
% end-of-term-examination: 60
% of continuous assessment (assigments, laboratory, practicals?): 40

BASIC BIBLIOGRAPHY
- Wooldridge, J.M. Introductory Econometrics. A Modern Approach, South-Western College Publishing, 2009
- Goldberger, A.S. Introductory Econometrics, Harvard University Press, 1998
- Gujarati, D.N. Basic Econometrics, McGraw-Hill, 2009
- Stock, J.H. & M.W. Watson Introduction to Econometrics, Addison Wesley, 2007
- Greene, W.H. Econometric analysis , Prentice Hall, 2008
- Jonhston, J. Econometric Methods, The McGraw-Hill Companies, 1997

ADITIONAL BIBLIOGRAPHY
- Wooldridge, J.M. Econometric analysis of cross section and panel data , The MIT Press, 2009
- Hayashi, F. Econometrics, Princeton University Press, 2000