Econometrics I

Contacts and Office hours

ricardo.mendes@iscte-iul.pt

Zoom private room

Office hours Wednesday, 9:30–12:30 (under appointment)

Timetable of the practical sessions

Wednesdays, 13h00–14h30
Classroom D1.02

Thursdays, 16h00–17h30
Classroom D1.06

Fridays, 14h30–16h00
Classroom D1.06

Warning
  • Please be punctual. Access to the class will not be allowed 15min after the scheduled starting time.
  • Classrooms may be changed without notice by the School services. Please check the classroom on Fenix+ before attending.

Plan of the course

Note
  • The materials of this course are in Portuguese.
  • The supporting software for this course is STATA: no other software is allowed or required in the course assessment elements. However, solutions in Julia will be provided for the curiosity of students.
  • All the materials offered in this website are work in progress and subject to corrections and improvements. Suggestions are welcome to .
Class Topic Calendar Downloads
1 Introduction Feb 5
2 Review of Mathematics and Statistics Feb 6
3 Review of Mathematics and Statistics Feb 7
4 The Simple Linear Regression Model Feb 12
5 The OLS Method and the Algebraic Properties of OLS Estimators Feb 13
6 The Statistical Properties of OLS Estimators and Introduction to STATA Feb 14
7 Exercises on Simple Linear Regression Feb 19
8 The Multiple Linear Regression Model Feb 20
9 The OLS Method with Multiple Regressors Feb 21
10 Exercises on Multiple Linear Regression Feb 25
11 The Properties of OLS Estimators Feb 26
12 Functional Forms and Variable Transformation Feb 27
13 Measurement Units Mar 12
14 Exercises on Measurement Units Mar 13
15 Solving Questions from Previous Assignments Mar 14
16 In class Assignment #1 Mar 19
17 Inference on a Single Parameter Mar 20
18 Inference on a Single Linear Combination of Parameters Mar 21
19 Inference on a Single Linear Combination of Parameters Mar 26
20 Inference on Multiple Linear Combination of Parameters Mar 27
21 Exercises on Inference Mar 28
22 Exercises on Inference Apr 2
23 Make-up session Apr 3
24 Midterm Exam Apr 4
25 Prediction Apr 9
26 Some Notes on Asymptotic Theory Apr 10
27 The Effects of the Mispecification of the Model Apr 11
28 The RESET Test Apr 30
29 Dummy Variables May 2
30 Testing Structural Change May 7
31 Leading with Heterosckedasticity May 8
32 Tests for Heterosckedasticity Detection May 9
33 In class Assignment #2 May 14
34 Exercises on Heterosckedasticity May 15
35 Problems with Data May 16
Endterm Exam and Final Exam June 3
Resit Exam June 23
Special Season Exam TBA

References

  • Wooldridge, J. M. (2020). “Introductory Econometrics: a Modern Approach”, 7.ª Ed., Cengage Learning.

Evaluation

Periodic Assessment Regime

  • Work in class #1: 15%
  • Work in class #2: 15%
  • Midterm exam: 35%
  • Endterm exam: 35%
  • The grade in any of these elements cannot be lower than 7.5 out of 20

Final Exam Regime

  • One final exam covering all the topics: 100%

Resit Exam

Students who fail the course may take a resit Exam worth 100% of the grade and covering all topics.