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Home | Courses | Econometrics I
Course

Econometrics I


  • Teacher(s)
  • Research field
    Econometrics
  • Dates
    Period 2 - Oct 26, 2020 to Dec 18, 2020
  • Course type
    Core
  • Program year
    First
  • Credits
    4

Course description

In this course we provide an understanding of basic econometric methods. Knowledge of these methods allows one to understand modern empirical economic literature and to perform one's own analysis of economic and business data. The technique of regression is discussed, as well as various extensions that are needed in concrete applications to deal with, for example, heteroscedasticity, autocorrelation, endogeneity, and non-linearity’s. Furthermore an introduction to discrete choice modeling is given. The main emphasis of the course is on the interpretation of models and outcomes of estimation and testing procedures. The students practice this themselves by analyzing economic and business data by means of the software R and by deriving and interpreting formulas for basic models and concepts.

Course literature

Primary reading
C. Heij, P.M.C. de Boer, P.H. Franses, T. Kloek and H.K. van Dijk (2004). Econometric Methods with Applications in Business and Economics, Oxford University Press, Oxford.
Further Reading
W.H. Green (2012). Econometric Analysis (7th edition), Pearson.
F. Hayashi (2000). Econometrics, Princeton University Press, Princeton.
J.M. Woolridge (2000). Introductory Econometrics, a Modern Approach (4th edition), South Western College Publishing.