G30 Econometrics I

Syllabus

1st October 3rd Guidance, matrices
2nd 16th Matrices, OLS as an algebraic tool
3rd 23rd Cancelled
4th 30th The linear regression model, small sample properties of the OLS estimator
5th November 6th Small sample properties of the OLS estimator, goodness-of-fit, hypothesis testing
6th 13th Hypothesis testing, asymptotic properties of the OLS estimator
7th 20th Multicollinearity, prediction, interpreting the linear model
8th 27th Selecting the set of regressors, misspecifying the functional form, explainig house prices
9th December 4th Heteroskedasticity and autocorrelation, consequences for the OLS estimator,
deriving an alernative estimator, heteroskedasticity
10th 11th Heteroskedasticity, testing for heteroskedasticity, illustration, autocorrelation
11th 18th Autocorreltion, testing for first-order autocorrelation, illustration,
alternative autocorrelation patterns
12th 25th What to do when you find autocorrelation?, endogeneity, instrumental variables and GMM,
a review of the properties of the OLS estimator, cases when the OLS estimator cannot be saved
13th January 22th Cases when the OLS estimator cannot be saved, the instrumental varibles estimator
14th 29th The instrumental variables estimator, an introduction to maximum likelihood
15th February 5th Cancelled