Course detail

LES5722 - Econometrics


Credit hours

In-class work
per week
Practice
per week
Credits
Duration
Total
6
2
8
10 weeks
120 hours

Instructor
Ana Lucia Kassouf
Mirian Rumenos Piedade Bacchi

Objective
Provide basic econometric concepts to be used in practical data analysis problems. Multiple linear
regression by ordinary and generalized least squares method and its applications to economic problems;
use of binary variables; problems with errors in independent variables, autocorrelation in residuals,
multicollinearity and heteroscedasticity; least squares and two-stage method for fitting simultaneous
equations; property of estimates; hypothesis testing. Models for panel data, fixed and random effects,
pooling and SUR. Models for qualitative dependent variables, probit, logit, tobit and multinomial.

Content
Multiple Linear Regression: Parameter estimation, properties of estimators, hypothesis testing,
prediction; Regression with Constraints and Structural Change Tests; Other Topics in Regresscedasticity,
autocorrelation of residuals; Simultaneous Equationssion Analysis: binary variables, multicollinearity,
hetero: identification, instrumental variable method, indirect least squares, two-stage least squares.
Logit and probit and tobit models. Multinomial models and sample selectivity models. Models for panel
data: Fixed and random effects, SUR, pooling.

Bibliography
BERNDT, E. The Practice of Ecoometrics Classic and Contemporary. Addison Wesley, 1991.
GREENE, W.H. Econometric Analysis, 5a. edição, Macmillian Publishing Company, 2019.
GRIFFITHS, R., R. HILL e G. JUDGE. Learning and Practicing Econometrics, John Wiley & Sons, 1993.
HOFFMANN, R. Análise de Regressão. Uma Introdução à Econometria. Hucitec, 2016.
JUDGE, G., W. GRIFFITHS, R. HILL, R. LUTKEPOHL e H. LEE. Introduction to the Theory and Practice of Econometrics, John Wiley & Sons, 1988.
WOOLDRIDGE, J.M. Econometric Analysis of Cron Section and Panel Data. MIT Press. 2010. WOOLDRIDGE, J.M. Introductory Econometrics. A Modern Approach. 6th ed. Ed. Thomson. 2018. Cameron e Triverdi. Microeconometrics Methods and Applications. Ed Cambridge. 2005.