Introduction to Econometrics using Stata

AIms of the course

The objective of this course is to provide the basic knowledge in econometrics and prepare participants for empirical work in economics. This course gives you the opportunity to consider actual economic data to test economic theories with a direct application in Stata. The course is interactive and includes both a theory review and computer practical sessions using Stata. Within practical sessions real data econometric issues will be covered using both cross-sectional and time series data.

 

 

AIms of the course

The objective of this course is to provide the basic knowledge in econometrics and prepare participants for empirical work in economics. This course gives you the opportunity to consider actual economic data to test economic theories with a direct application in Stata. The course is interactive and includes both a theory review and computer practical sessions using Stata. Within practical sessions real data econometric issues will be covered using both cross-sectional and time series data.

COURSE TOPICS

  • Simple regression analysis
  • Properties of OLS estimators and hypothesis testing
  • Multiple regression analysis: estimation and statistical inference
  • Multiple regression analysis: multicollinearity, dummy variables and instrumental variables
  • Heteroscedasticity and autocorrelation
  • Model selection: criteria and test
  • Modelling Dynamic Processes 
  • Binary choice models (logit and probit)

Gained skills

  • Describe and apply the classical regression model to cross-sectional and time-series data.
  • Understand:
    • assumptions required in the application of classical regression model
    • reasons for expecting violations of these assumptions in certain circumstance
    • tests for violations
    • potential remedial measures.
  • Apply basic regression analysis with time series data and recognize the difficulties that arise in this type of analysis.
  • Recognize and apply the advantages of logit and probit models over regression analysis when fitting binary choice models.
  • Competently use of presented econometric methods to quantify economic relations using Stata in simple applications.