Econometrics

This course provides an introduction to the theory and practice of econometrics. The course begins with an introduction to the role of econometric analysis in economic methodology. This is followed by a review of the statistical concepts that are needed in econometric analysis.

Bivariate and multiple regression models are then examined in some detail. (A bivariate regression model is simply a model in which a dependent variable is affected by only a single independent variable. A multiple regression model is one in which more than one independent variables affect the level of a dependent variable.) The effects of autocorrelation, heteroskedasticity, multicollinearity (and similarly impressive sounding terms) are also discussed. Methods of detecting, and correcting for, the effects of each of these phenomena are also examined in this section of the course.

The discussion of regression analysis is followed by an examination of models in which the dependent variable is qualitative, rather than quantitative. (Examples of such models include the examination of the decision to go to college, become married or divorced, have children, own or rent, and similar decisions).

The course concludes with a discussion of alternative methods of estimating simultaneous equation models. If time permits (it seldom does), ARIMA forecasting models will also be examined.

Prerequisite: Eco 101, 200, Math 158 (or equivalent)