Econometrics I


We will review working with expectation operators and matrix algebra. We will study various statistical models utlizied to test theoretical economic relationships, analyze historical economic events, and conduct economic policy evaluation. Simple and multiple regression using ordinary least squares estimation, maximum likelihood estimation, and general;ized least squares estimation will be covered in detail. We will learn tools of basic statistical inference and diagnostics for these models. Time-allowing, we will study logit and probit regressions to handle discrete choices (e.g. Yes/No choice scenarios). basic time-series analyses with tests and controls for trends, seasonality, and auto correlation.

  1. Understand how the notions of random variables, prob. distributions, moments and expectations lead to the estimation of causal ecomomic relations, test economic theory and analyze various policies
  2. Utilize optimization methods: error minimization and likelihood maximization to estimate economic relationships using Oridnary Least Squares, Maximum Likelihood, Logit, and Probit estimators.
  3. Abile to propose and setup regression models and infer upon proposed economic relationships using standard tests of statisitcal significance.
  4. Ability to validate various regression models from distribution assumptions on residuals.
  5. Ability to estimate regressions using real-world datasets on a standard statistical package.

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