Course title

Econometric Theory

Code

5.130

Professor

Prof. Vesna Bucevska, PhD

Course objectives:

The main objective of this course is to enable doctoral students to gain an in-depth knowledge in the field of theoretical econometrics and to gain experience in evaluating and testing econometric models. By understanding this approach, students will be able to identify problems in formulating, evaluating, and applying econometric methods, specify an econometric model, evaluate the parameters of the econometric model, and subject that model to verification, interpret the obtained results in the economic framework, use the estimated model to test the economic theory underlying that model and predict future economic activity based on the estimated quantitative relationships.

Course content:

1. INTRODUCTION
2. THE CLASSICAL SIMPLE LINEAR REGRESSION:ESTIMATION AND INFERENCE
3. THE CLASSICAL MULTIPLE LINEAR REGRESSION MODEL: SPECIFICATION AND ESTIMATION
4. INFERENCE AND PREDICTION IN MULTIPLE REGRESSION MODEL
5. LARGE SAMPLE RESULTS AND ALTERNATIVE ESTIMATORS IN CLASSICAL REGRESSION MODEL
6. HETEROSCEDASTICITY
7. AUTOCORRELATED DISTURBANCES
8. FUNCTIONAL FORM, NONLINEARITY AND SPECIFICATION.