Department of Economics

Course: ECONOMETRICS

Code: QNT202

1^st and 2^nd Semester

Instructor: V. Dalla

Aims & Objectives:

The course combines knowledge of economics, mathematics and statistics to develop suitable methodology for the empirical study and testing of economic theory. It focuses on the quantitative analysis of relationships of economic behaviour and their estimation, as well as the conduct of forecasting economic variables.

 Contents:

1. Linear model: Multiple regression and least squares method.
2. Hypothesis testing in the linear model. Forecasting.
3. Extensions of the linear model. Dummy variables.
4. Stochastic variables.
5. Heteroscedasticity. Αutocorrelation. Generalized least squares method.
6. Endogeneity. Instrumental variables method. Specification error.
7. Dynamic models.
8. System of equations: Basic concepts, identification and estimation methods.

Course Books:

Greek:

1. G. Κ. Christou, Introduction to Econometrics, Gutenberg, 2011.
2. Α. V. Κatos, Econometrics: Theory and Applications, Zygos, 2004.

English:

D. N. Gujarati, Essentials of Econometrics, 3^rd Edition, McGraw Hill, 2006.

R. S. Pindyck and D. L. Rubinfeld, Economic Models and Economic Forecasts, 4^th Edition, McGraw Hill, 1997.