Introduction to Econometrics – Prof. Jong-Min Kim

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Title Introduction to Econometrics
Field of Study Economics
Type Academic course
Credits 3
Contact hours 45
Course code ECO1020
Course number

First, this course will cover the statistical concepts for econometric analysis such as single (multiple) regression analysis, ordinary least squares (OLS), Logit and Probit Models and violations of standard assumptions such as heteroskedasticity and multicollinearity. Second, this course will introduce the basic models for time series analysis such as stationary and nonstationary time series, analysis of trends using regression methods, ARIMA, model specification, transformations, parameter estimation, model diagnostics, forecasting, Seasonal ARIMA time series models, and GARCH models.

Week 1
Chapter 1: The linear regression model: an overview
Chapter 2: Functional forms of regression models
Chapter 3: Qualitative explanatory variables regression models

Week 2
Chapter 4: Regression diagnostic I: multicollinearity
Chapter 5: Regression diagnostic II: heteroscedasticity
Chapter 6: Regression diagnostic III: autocorrelation
Chapter 7: Regression diagnostic IV: model specification errors

Week 3
Chapter 8: The logit and probit models
Chapter 10: Ordinal regression models
Chapter 12: Modeling count data: the Poisson and negative binomial regression Week 3
Chapter 17: Panel data regression models Chapter 20: Beyond OLS: quantile regression

Week 4
Chapter 13: Stationary and nonstationary time series
Chapter 14: Cointegration and error correction models Week 4
Chapter 15: Asset price volatility: the ARCH and GARCH models
Chapter 16: Economics forecasting

Objective The objective of this course is to introduce basic concepts and theory of econometric analysis with practical applications, mainly stock financial data.
Preparations Textbook: Damodar Gujarati, Econometrics by Example, 2 nd Edition, Palgrave Macmillan (2014). Pre-knowledge: Basic College Algebra. Materials: Regular Calculator needed.
Materials Syllabus_Econometrics_HY2020
Midterm exam
Final exam
Last Updated January 23, 2020