Econometrics 1

1. Description

This course serves as an introductory course to econometrics. It covers the fundamentals of the multiple linear regression model and gives an outlook on time series models and estimators for nonlinear models. The major goal of the class is to provide students with a first equipment to undertake serious empirical work. Thus, there is much emphasis on empirical applications and computer work in the computer lab using E-Views. Major topics covered in the course are:

a)The Multiple Linear Regression Model: LS-Estimation, Tests,
Forecasting, Resticted LS-Estimation
b)Problems of Model Specification: Autocorrelation,
Heteroscedasticity, Functional Form
c)Introduction to Dynamic Models
d)Quantal Response Models
e)Instrumental Variables Estimation
f)Computer Tutorials with E-Views



2. Prerequisites

Introductory linear algebra, calculus, probability and statistics are treated as prerequisites.


3. Introductory Literature

Stock, James H. and M. Watson (2007): Introduction to Econometrics, 2nd ed., Addison-Wesley

Verbeek, M. (2008): A Guide to Modern Econometrics, 3rd ed., Wiley

Wooldridge, J. M. (2009): Introductory Econometrics: A Modern Approach, 4th ed., South Western College Publishing


4. Form of Assessment

The final grade is formed based on two components: Final Exam (2 hours) and Midterm Exam.


5. Lecture & Tutorial Dates (Summer Semester 2009)

Lectures   See schedule here: download Pohlmeier
    Pohlmeier: Thursdays and Fridays 8:30 -10:00 , A701
    All tutorials will be in English.  
Tutorials Monday 16:00 - 18:00 G309 Anna Chizhova
 Thursday 10:00 - 12:00 G530 Laura Wichert
 Friday 12:00 - 14:00 D433 Laura Wichert
   See tutorials/exam schedule here: download  
Note: The Eviews-Tutorials on June 30th and July 1st will be held one week later on July 7th and 8th. See also updated tutorials schedule.
 
Eviews-Tutorials Tuesday 8:00 - 10:00 B620A Balabanova/Krüger
Tuesday 10:00 - 12:00 B620A 
Wednesday 8:00 - 10:00 B620A  
Wednesday 10:00 - 12:00 B620A 
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Econometrics 1 "Nachtermin" Exam

Thursday, 1st Oct. 2009

Time: 10:00-12:00

All students are to take the exam in room A701

 

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Econometrics 1 Exam (Haupttermin)

Date: 24.07.2009

Time: 10.00 - 12.00 a.m.

The room distribution is the following:

 

Bachelor students with last names from A-J and Diploma Students: A701

Bachelor students with last names from K-M: A702

Bachelor students with last names from N-Z: A703

 

NOTE: Remarks on common mistakes in the exam




6. Course Material

Script

Complete Script
Contents
Chapter 1Introduction
Chapter 2Estimation & Inference
Chapter 3Bivariate Linear Regression
Chapter 4Multivariate Linear Regression
Chapter 5Functional Form
Chapter 6GLS
Chapter 7Dynamic Models
Chapter 8Quantal Response
Appendix ASample Distributions
Appendix BMatrix Algebra
Appendix COperators
Appendix DDictionary
Appendix ESolutions
Index
Bibliography

Tutorials

Problem Set 1
Notes on Problem Set 1
Problem Set 2
Notes on Problem Set 2
Problem Set 3
Notes on Problem Set 3
Problem Set 4
Notes on Problem Set 4
Problem Set 5
Notes on Problem Set 5
Problem Set 6
Problem Set 7

Eviews Tutorials

Problem Set 1
Slides
Workfile
Outputs Tutorial 1
Problem Set 2
Slides
Workfile
Outputs Tutorial 2
Problem Set 3
Slides
Workfile
Outputs Tutorial 3

Statistical Quiz

Additional Material

Introduction to Mathematical Statistics
Formulas and Tables
Example CAPM Model
Lecture Slides: The Multivariate Regression Model - Hypothesis Testing
Lecture Slides: Specification Search, Dynamics and Autocorrelation

Old Exams

Final Exam SS07 (Haupttermin)
Final Exam SS07 (Nachtermin)