Econometrics

Chapter 1 Introduction

Econometric Methods Winter Term 2011/12

Bernd Droge Humboldt-Universität zu Berlin (Slides: Nikolaus Hautsch)

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What to expect from this course?

... learning about fundamental econometrics, ... learning about the validity and usefulness of alternative estimation techniques under dierent assumptions, ... learning about the relationship between dierent estimators, ... learning how to frameworks.

estimation methods

in

test

an econometric model in dierent

Econometric Methods  Chapter 1: Introduction

Why Do You Need this Course?

various elds, such as in time series analysis, in panel econometrics, in microeconometrics, in macroeconometrics, in nancial econometrics, in statistics, ...

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The course gives the necessary theoretical background which is absolutely needed in order to apply econometric methods in

Econometric Methods  Chapter 1: Introduction

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Therefore ...

... this course is a theoretically orientated course!!

Econometric Methods  Chapter 1: Introduction

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Contents

1. Introduction 2. Finite Sample Properties of OLS 3. Generalizations of the Linear Model 4. Large-Sample Theory 5. Maximum Likelihood Estimation 6. Instrumental Variables Estimation 7. (Generalized Method of Moments) 8. Main references:

Davidson, R., and MacKinnon, J.G. (2004): Econometric Theory and Methods, Oxford University Press. Hayashi, F. (2000): Econometrics, Princeton University Press.

Econometric Methods  Chapter 1: Introduction

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Requirements

Basic knowledge in econometrics and statistics Regression analysis, OLS/GLS estimation, tests Basics in probability and distribution theory Linear (matrix) algebra (!), some calculus

Econometric Methods  Chapter 1: Introduction

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Organization

Lectures:

Mo 10-12 (SPA1, 202) Thu 12-14 (SPA1, 202)

Tutorials

Thu 14-16 (SPA1, 202), Julia Schaumburg (English) Fr 12-14 (SPA1, 202), Peter Malec...