Course description
This is a basic course in advanced econometrics. Econometrics deals with estimating economic theories and models, and investigating their validity by confronting them with data, using statistical methods. An important part of econometrics is concerned with developing methods for analysing relationships in multi-equation models, with due regard to (a) the non-experimental, multi-causal nature of most economic variables, and (b) measurement errors.
Reading list
For this course, there are two alternative reading lists, one for Norwegian-reading students (A) and one for non-Norwegian-reading students (B)
A. FOR NORWEGIAN-READING STUDENTS:
E. Biørn: Økonometriske emner, 2. utgave (Econometric Topics, 2nd edition, in Norwegian) Unipub 2003. Chapters 1, 2.1-2.3, 3.1-3.3, 4, 5.1, 5.2, 5.4.a, 5.4.b, 5.5, 5.6.a, 6.1-6.3, 6.4.a, 6.5, 6.6, 7.1-7.6, 8, 10.1-10.4. The following sections are cursory reading: 2.4, 2.5, 3.4, 5.4.c, 5.4.d, 5.6.b, Appendix 5A, 6.4.b, 7.7, 9.1-9.4.
- Basic readings: Chapters 1, 2.1-2.3, 3.2-3.3, 4.1-4.4, 5.4.a, 5.6.a, 6.4.a, 6.5, 7.1,7.3,7.4,7.6, 8.1-8.4, 10.1-10.4.
W.H. Greene: Econometric Analysis, fifth edition, Prentice Hall, 2003. Chapters 5.1-5.5, 7.1-7.4, 8.1, 8.2, 11.4, 12.1-12.3, 12.7, 17.1, 17.2,19.1, 19.2.1, 19.3.1, 21.1-21.3
- Basic readings: 5.1,5.2, 11.4, 12.1-12.3, 12.7,19.1, 19.2.1, 19.3.1, 21.1, 21.2
B. FOR NON-NORWEGIAN-READING STUDENTS:
W.H. Greene: Econometric Analysis, fifth edition, Prentice Hall, 2003. Chapters 1, 2, 3, 4, 5.1-5.5, 6.1-6.3, 7.1-7.4, 8.1, 8.2, 9.2, 10.1-10.3, 11.1-11.5, 12.1-12.3, 12.7, 12.9, 14.1-14.3, 15.1-15.5, 17.1, 17.2, 19.1, 19.2.1.,19.3.1, 21.1-21.3, as well as some supplementary material (inter alia English translations of selected sections from Biørn's book) which can be loaded down from the web pages for this course.
- Basic readings: Chapters 1, 2, 3, 5.1, 5.2, 6.1-6.3, 8.1, 8.2, 10.1-10.3, 11.1-11.4, 12.1-12.3, 12.7, 14.1-14.3, 15.1-15.5, 19.1, 19.2.1., 19.3.1, 21.1,21.2.
All students are recommended to acquire basic knowledge of matrix algebra. You will find all you need for this course in, e.g., Appendix A in Greene's book.