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    This document outlines the contents of an econometrics course taught at Heidelberg University during the 2013/14 winter term. The course covers topics such as linear regression models, panel data analysis, instrumental variables regression, experiments and quasi-experiments, limited dependent variable models, and time series analysis. References for further reading on econometrics are also provided.

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    This document outlines the contents of an econometrics course taught at Heidelberg University during the 2013/14 winter term. The course covers topics such as linear regression models, panel data analysis, instrumental variables regression, experiments and quasi-experiments, limited dependent variable models, and time series analysis. References for further reading on econometrics are also provided.

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    Download as PDF, TXT or read online from Scribd
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    12 views2 pages

    Content

    Uploaded by

    Cyryl Życki
    This document outlines the contents of an econometrics course taught at Heidelberg University during the 2013/14 winter term. The course covers topics such as linear regression models, panel data analysis, instrumental variables regression, experiments and quasi-experiments, limited dependent variable models, and time series analysis. References for further reading on econometrics are also provided.

    Copyright:

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    of 2

    Prof. Dr.

    Christian Conrad

    Heidelberg University Winter Term 2013/14

    E CONOMETRICS Contents
    1. The Linear Regression Model 1.1 Introduction 1.2 Review: The Linear Regression Model with One Regressor 1.3 The Classical Multiple Linear Regression Model 1.4 Least Squares 1.5 Statistical Properties of the Least Squares Estimator 1.6 Inference and Prediction 1.7 Functional Form 1.8 Specication Analysis 1.9 The Generalized Regression Model and Heteroscedasticity 2. Models for Panel Data 2.1 Panel Data 2.2 Fixed Effects Regression 2.3 Assumptions for Fixed Effects Regression and Standard Errors 2.4 A General Modeling Framework for Analyzing Panel Data 3. Instrumental Variables Regression 3.1 Motivation 3.2 IV Estimator with a Single Regressor and a Single Instrument 3.3 The General IV Regression Model 3.4 Checking Instrument Validity 4. Experiments and Quasi-Experiments 4.1 Idealized Experiments and Causal Effects 4.2 Potential Problems with Experiments in Practice 4.3 Regression Estimators of Causal Effects Using Experimental Data 4.4 Quasi-Experiments 1

    4.5 Estimates in Heterogeneous Populations 5. Microeconometrics 5.1 Regression with a Binary Dependent Variable 5.2 The Linear Probability Model 5.3 Probit and Logit Regression 5.4 Other Limited Dependent Variable Models 6. Time Series 6.1 Serial Correlation 6.2 Models with Lagged Variables 6.3 Time Series Models

    References
    [1] Angrist, J. D. and J.-S. Pischke (2009). Mostly Harmless Econometrics. An Empiricists Companion, Princeton University Press. [2] Davidson, J. (2000). Econometric Theory, Blackwell Publishers. [3] Greene, W. H. (2012). Econometric Analysis, Prentice Hall. [4] Hayashi, F. (2000). Econometrics, Princeton University Press. [5] Stock, J. H. and M. W. Watson (2012). Introduction to Econometrics, Addison-Wesley. [6] Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data, MIT Press. [7] Wooldridge, J. M. (2006). Introductory Econometrics, South-Western College Publishing.

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