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 using the 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 heteroscedasticy; two-stage least squares method for simultaneous equation adjustment; ownership 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, estimator properties, hypothesis testing, prediction; Regression with Constraints and Structural Change Tests; Other Topics in Regression Analysis: binary variables, multicollinearity, heteroscedasticity, autocorrelation of residuals; Simultaneous Equations: identification, instrumental variable method, indirect least squares, two-stage least squares. Logite, probite and tobite models. Multinomial models and sample selectivity models. Models for panel data: Fixed and random effects, SUR, pooling models.
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 TRIVEDI. Microeconometrics Methods and Applications. Ed Cambridge. 2005.