316-317 Econometrics

Note

The course is designed for students with a mathematical background and is a prerequisite for further subjects in econometrics. Students may not gain credit for this subject and 316-316 Basic Econometrics. This subject, or 316-316 Basic Econometrics, is one of the four subjects which students proceeding to an honours degree in economics are required to take in either the third or fourth year of their course.

Prerequisites

At least one of 316-201 Intermediate Macroeconomics and 316-202 Intermediate Microeconomics, and either 316-205 Introductory Econometrics or 620-202 Statistics.

Semester

Contact

Subject Description

Selected topics in probability theory, statistical inference and matrix techniques. The classical linear regression model. Some specification problems (e. g. functional forms and omitted variables), data problems (e. g. multicollinearity) and error analysis (e. g autocorrelation and heteroskedasticity). Introduction to qualitative dependent variables and systems estimation. Applications to empirical problems in economics and finance.

Assessment

A 2-hour examination (80%) and class assignments up to 40 pages in total (20%).

Prescribed Texts

• Maddala G. S., Introduction to Econometrics. 2nd ed..