Econometrics I

2023/2024

Academic Year

ENG

Instruction in English

7

ECTS credits

Delivered at:

Department of Economics

Course type:

Elective course

When:

3 year, 1, 2 module

Instructor

Yakubenko, Slava

Course Syllabus

Abstract

This course provides students with skills in basic econometrics analysis for management studies. In addition, the course covers the theoretical aspect of linear and discrete choice models. These models are the most popular ones in econometrics analysis for management studies, and they are frequently used for empirical term papers and bachelor theses. In sum, the course provides a balanced study of applied and theoretical aspects of econometrics, all of which are necessary for basic econometric analysis.

Learning Objectives

• Students master their skills in the linear regression analysis.
• Students learn how to estimate the model with the binary dependent variable.
• Students learn how to estimate FE and RE panel models
• Students learn how to estimate Diff-in-Diff model
• Students learn how to estimate simple time series models

Expected Learning Outcomes

• be able to identify cases when it is possible to use IV regression models
• the understanding of what a strong and a weak instrument is
• be able to estimate the IV regression model
• the understanding of what an experiment in econometric research is
• be able to apply DiD model
• be able to interpret the DiD model
• be able to plot time series data in STATA
• be able to estimate basic time series regression model
• the understanding of what a time series econometric model is
• be able to estimate time series models measuring basic causal effects
• be able to estimate GARCH and ARCH models
• be able to interpret ARCH and GARCH models
• be able to interpret the model

Course Contents

• Regression with Panel Data
• Instrumental Variables Regression
• Experiments and Quasi-Experiments
• Introduction to Time Series Regression and Forecasting
• Additional Topics in Time Series Regression

Assessment Elements

• Seminar Activity
• Oral Examination

Interim Assessment

• 2023/2024 2nd module
  0.7 * Oral Examination + 0.15 * Seminar Activity + 0.15 * Seminar Activity

Bibliography

Recommended Core Bibliography

• Stock, J. H., & Watson, M. W. (2015). Introduction to Econometrics, Update, Global Edition (Vol. Updated third edition). Boston: Pearson Education. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1419285

Recommended Additional Bibliography

• A. Colin Cameron, & Pravin K. Trivedi. (2010). Microeconometrics Using Stata, Revised Edition. StataCorp LP. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.tsj.spbook.musr
• Angrist, J. D., & Pischke, J.-S. (2009). Mostly Harmless Econometrics : An Empiricist’s Companion. Princeton: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=329761
• Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012). The Econometrics of Financial Markets. New Jersey: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1891894
• J.D. Angrist, Guido W. Imbens, & D.B. Rubin. (1993). Identification of Causal Effects Using Instrumental Variables. NBER Technical Working Papers. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.nbr.nberte.0136
• Verbeek, M. (2004). A Guide to Modern Econometrics (Vol. 2nd ed). Southern Gate, Chichester, West Sussex, England: John Wiley and Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=108185
• Verbeek, M. (2017). A Guide to Modern Econometrics (Vol. 5th edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639496
• Verbeek, M. (DE-588)170802655, (DE-576)164668535. (2012). A guide to modern econometrics / Marno Verbeek. Chichester: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.357323661
• Wooldridge, J. M. . (DE-588)131680463, (DE-576)298669293. (2006). Introductory econometrics : a modern approach / Jeffrey M. Wooldridge. Mason, Ohio [u.a.]: Thomson/South-Western. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.250894459
• Wooldridge, J. M. . (DE-588)131680463, (DE-627)512715513, (DE-576)298669293, aut. (2013). Introductory econometrics a modern approach Jeffrey M. Wooldridge.

Authors

• KOKOVIN SERGEY GELIEVICH
• RYMASHEVSKAYA TATYANA ALEKSANDROVNA