[A picture of Oliver Kirchkamp]

Lecture Econometrics I WS 2009/10

Lecturer:Dr. Nadine Chlaß
As a block, GK Seminar Room 214, Helmholtzweg 4 (second floor, right)
The lecture is primarily targeted at graduate students. Advanced students from the Hauptstudium are welcome.
  • 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
  • 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.
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.

For the Bayesian parts we will use JAGS. It helps if you have installed R and JAGS on your computer when we start the course.

  • 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, explains R with the help of examples from basic statistics)
    • Simple R, John Verzani (Explains R with the help of examples from basic statistics)
    • Einführung in R, Günther Sawitzki (In German. Rather compact introduction.)
    • Econometrics in R, Grant V. Farnsworth (The introduction to R is rather compact and pragmatic.)
    • 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.)
    • On the JAGS Homepage you go to the files pages, then to Manuals, to find the JAGS user manual.
  • We will use the following packages: car, Ecdat, MASS (VR), UsingR, binom, relaimpo, lmtest, mvtnorm, lattice, clinfun, memisc, xtable. If, e.g., the command library(Ecdat) generates an error message (Error in library(Ecdat): There is no package called 'Ecdat'), you have to install the package.
    Installing packages with Microsoft Windows:
    With RStudio: Use the tab “Install”. Otherwise: Start Rgui.exe and install packages from the menu Packages / Install Packages).
    Installing packages from modern operating systems:
    From within R use the command install.packages("Ecdat"), e.g., to install the package Ecdat
  • In the lecture we will use RStudio as a front end.