Econometrics I
ricardo.mendes@iscte-iul.pt
Zoom private room
Office hours Wednesday, 9:30–12:30 (under appointment)
Wednesdays, 13h00–14h30
Classroom D1.02
Thursdays, 16h00–17h30
Classroom D1.06
Fridays, 14h30–16h00
Classroom D1.06
- 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
- 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 ricardo.mendes@iscte-iul.pt.
| 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.