Lecture Econometrics I WS 2009/10

Lecturer:Nadine Chlaß

Lecture:

As a block, GK Seminar Room 214, Helmholtzweg 4 (second floor, right)

Exam:

tba

Audience

The lecture is primarily targeted at graduate students. Advanced students from the Hauptstudium are welcome.

Requirements:

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Topics

• Econometrics and emirical economics
• OLS with one regressor
• OLS with several regressors
• Violations of the basic model
  • Heteroskedasticity
  • Autocorrelation
• Specification
• Structural breaks
• Nonlinear least squares

Handout

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Exercises

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Literature:

• William Greene, Econometric Analysis, Prentice Hall, 5th Edition, 2003.
• Michael Murray; Econometrics, a Modern Introduction; Pearson 2006
• Christian Gourieroux and Alain Monfort, Statistics and Econometric Models, Vol. 1, Cambridge, 1995.

Software

For our practical examples (during the entire course) we will use the software environment R. I think that it is helpful to coordinate on one environment and R has the advantage of being free and rather powerful.

• Documentation for R is provided via the built in help system but also through the R Homepage. Useful are
  • The R Guide, Jason Owen (Easy to read, tries to explain R with the help of examples from basic statistics)
  • Simple R, John Verzani (Tries to explain R with the help of examples from basic statistics)
  • Einführung in R, Günther Sawitzki (In German. Rather compact introduction. The statistical part can be quite demanding)
  • Econometrics in R, Grant V. Farnsworth (The introduction to R is rather compact and pragmatic. The econometric models go beyond what we are doing in this lecture)
  • An Introduction to R, W. N. Venables und D. M. Smith (The focus is more on R as a programming language)
  • The R language definition (Concentrates only on R as a programming language. A must to read if you write your own functions)
• A first entry into R eased through mice and menues is available through the R Commander.
• An interesting development environment is RStudio.
• In the lecture I use the versatile editor Emacs with the ESS interface (ESS also helps with Stata, SAS, Splus, BUGS, and others). Users of MacOS-X will prefer the Emacs-Clone aquamacs.