Practical econometrics
Dr Laszlo Matyas and Dr Graham McLaren
6 points * Two 1-hour lectures and one 2-hour tutorial per week. * First, second semester * Clayton * Prerequisites: ECM1031 with pass division I or ECM1032 with credit * Prohibitions: ECM2400, ECM3440
Objectives On completion of this subject students should feel confident about undertaking straightforward empirical work with economic and accounting data, and have a preparation for more advanced study of the techniques of applied econometrics; understand the properties and limitations of classical multiple regression analysis; understand the role of tests which can be applied to an estimated regression model in order to determine its usefulness in explaining a relationship between variables; understand the role of procedures which can be followed to overcome limitations of the classical model.
SynopsisAn introduction to linear multiple regression techniques; properties of least squares estimators; probability distributions and their applications to hypothesis testing; an introduction to the generalised least squares estimator; the problems of serial correlation, heteroscedasticity and multicollinearity; the use of dummy variables; the choice of an appropriate functional form; study of the application of the techniques and tests, through the study of published empirical work and the data sets used in them.
Assessment Test on matrices (45 minutes): 10% * Written (1 assignment [computing and report]): 30% * Examination (2 hours): 60%
Prescribed texts
Maddala GS Introduction to econometrics 2nd edn, Macmillan, 1992