Econometrics Winter Term 2015/16

Econometrics (Winter term 2015-16)

Time and place

Lecture (LSF)

Tuesdays
08:00 - 10:00 c.t.
H-A 3102

Tutorial (LSF)

Wednesdays
12:00 - 14:00 c.t.
H-A 7117

The econometrics lecture introduces the basics of empirical research in economics, with a special focus on the fundamental econometrics tool kit. You will learn the basic issues and methods in econometrics. Though the course can only perform an introductory course in econometrics, the aim of the course is that you will be in a position to understand and evaluate empirical research papers applying standard basic methods. We will apply the methods in practical tutorials with statistics software, so that you will be able to perform own empirical research projects, for instance, your master thesis.

I. Introduction
I.1 Basic Ideas on Econometrics
I.2 Function of Econometrics
I.3 Causality vs. Correlation

II. Review of Probability Theory and Distributions
II.1 How Statisticians See the World
II.2 Some Words on Distributions and their Moments
II.2.1 Probability Distributions
II.2.2 The Major Statistical Moments

III. Data Types, Estimation and Hypothesis Testing (Lecture Slides 3 and 4)
III.1 Data Requirements
III.2 Data Types
III.3 Properties of Estimators
III.4 The Average: A Simple, but Powerful Estimator
III.5 Confidence Intervals and Statistical Testing

IV. The Simple Regression Model
IV.1 What is the Simple Regression Model?
IV.2 Derivation of the OLS Estimates
IV.3 Goodness-of-Fit
IV.4 The Properties of the OLS Estimator
IV.5 Hypothesis Tests and Interval Estimation
IV.6 The Possibility of Reverse Causality
IV.7 Linearity and Model Specification

V. Multiple Regression Model
V.1 Basics
V.2 Partial Effects and “Controlling for . . . ”
V.3 Functional Form: Specification II
V.4 Deduction of Estimator and its Properties
V.5 When May Simple OLS be Sufficient?
V.6 Goodness-of-Fit
V.7 Assumptions of Multivariate OLS Model

VI. Introduction to Evaluation Techniques: Diff-in-Diffs and Fixed Effects

Lectures and
Exercises

Lecture Slides:

Available in LSF.

Tutorials:

Available in LSF.