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 build in help but also through the R Homepage. Useful is An Introduction to R, The R language definition, Simple R, and Econometrics in R.
• A first entry into R eased through mice and menues is available through the R Commander.
• Users of Firefox get access to R help through the R Site Search Sidebar. However, this is a bit tricky. If the rsitesearch.xpi package does not install, open the package (e.g. in Emacs) and change two values in install.rdf: Set maxVersion to a version at least as large as the version of your browser. Set updateURL to an empty value.
• In the lecture I use the versatile editor Emacs with the ESS interface (ESS also helps with Stata, SAS, Splus, BUGS, and others).