Beruflich Dokumente
Kultur Dokumente
Lecture 1
Introduction and overview of the course
Definition, scope and methodology of
econometrics
A review of the simple (bivariate) linear
regression model
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Objectives
To provide you with information about
the subject of econometrics and the topics that
we shall cover in the unit
the learning teaching and assessment
arrangements for the unit
Recommended texts
Dougherty, C (2007) Introduction to Econometrics, Third
Edition, OUP
Gujarati, D N (2002) Basic Econometrics, Fourth Edition,
McGraw-Hill
Kennedy, P (2003) A Guide to Econometrics, Fifth Edition,
Blackwell
Koop, G (2008) Introduction to Econometrics, John Wiley &
Sons
And others available in the Library in section 330.0182
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PcGive
EViews
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assessment
end of unit exam (50% weighting)
portfolio of practical solutions (20%
weighting)
assignment/report (30% weighting)
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econometrics
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econometrics
the application of mathematical statistics to
economic data to lend empirical support to models
constructed by mathematical economics and to
obtain numerical estimates
(Samuelson et al., Econometrica, 1954)
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policy evaluation
forecasting
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types of data
cross-section
time-series
panel
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types of model
simple bivariate linear
non-linear bivariate
multiple regression
dynamic
simultaneous equation
other (e.g. logit and probit)
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Example:
sales-advertising relationship
suppose we wish to test the hypothesis that a firms
12
2000
sales
3000
sales
ads
1000
1957-1
1947-1
1937-1
1927-1
1917-1
1907-1
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sales
2500
2000
1500
1000
500
0
0
200
400
600
800
1000
1200
1400
1600
1800
2000
ads
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1 X i
ui
for i = 1,2,.n
With time series data we tend use t rather than i as the subscript
and T as the sample size
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model specification
the equation(s) variables and functional
form
a priori restrictions on parameters
stochastic assumptions (assumptions about
the disturbance term)
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assumptions about u
mean zero
constant variance
independent between observations
independent of the X variable
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Econometric problems
Reasons for the disturbance
autocorrelation
heteroskedasticity
bias
multicollinearity
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X
100
200
300
400
500
600
700
Yi
Y
40
50
50
70
65
65
80
FITTED Y
42.32
48.21
54.11
60.00
65.89
71.79
77.68
200
400
600
800
36.43 0.059X i
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