General information about Introduction to Econometrics

Weeks 1-5
Instructor: Dr. Taisuke Otsu
Office hours: TBA
Room: 32LF.4.25
Secretary: Rachel Plume 32LF.1.03
Weeks 6-10
Instructor: Dr. Marcia Schafgans Office hours: TBA
Room: 32LF.4.12
Secretary: Rachel Plume 32LF.1.03
Lectures:

Monday, 11:00-12:00Room NAB.LG.08

Tuesday, 9:00-11:00
Room OT

The course is available on moode: http://moodle.lse.ac.uk/

Objectives: This course is an introductory-level introduction to the theory
and practice of econometrics. You should gain sufficient understanding of
econometric theory to understand empirical research and to intelligently use
econometric tools.
Requirements: Students must have completed elementary statistical theory
(ST102).
Grading & Organization:
Each week there will be three lectures, which will be supplemented by a
class. Students attending lectures receive a complete set of lecture notes.
Weekly problem sets are expected to be attempted before each class. Students receive formal
feedback on two occasions.

Course Outline and Reading Guide

The text book for the course is
Wooldridge, J.M. (2013) Introductory Econometrics: A Modern
Approach International Edition
European (or, alternatively, the Emea 1st Edition + its online content)
LENT LECTURES
Revision Material (Maths and Stats)
Reading:

Appendix A, B and C

The Simple Linear Regression Model (4 hours)

Simple Regression Model

Derivation of Ordinary Least Squares (OLS)
Properties of OLS
Expected Values and Variances of OLS Estimators

Reading:

Chapter 2

The Multiple Linear Regression Model Cross-Sectional Data (11 hours)

A.

Estimation (3 hours)

Multiple Regression

Properties of OLS

Expected Values and Variances of OLS Estimators

Reading:

B.

Chapter 3.1-3.4

Inference (3 hours)

Sampling Distributions of OLS Estimator

Single Hypothesis Testing about Parameters

Confidence Intervals for Parameters

Multiple Hypothesis Testing about Parameters

Reading:

Chapter 4

C.

OLS Asymptotics (2 hours)

Consistency of OLS Estimators

Asymptotic Normality and Large Sample Inference

Reading:
Chapter 5.1-5.2

D.

Topics (3 hours)
Selection of Regressors
Prediction and Residual Analysis

 Heteroskedasticity
Reading:

Chapters 6.3-6.4, 8.1-8.3

The Multiple Linear Regression Model Cross-Sectional Data (Continued) (2 hours)

E.

Topics (3 hours)

Efficiency OLS and Weighted Least Squares

(Heteroskedasticity)

Functional Form Misspecification, RESET test

Proxy variables for unobserved explanatory variables

Missing data
Reading:

Chapter 8.4, 9.1-9.2, 9.5

The Multiple Linear Regression Model Time Series Data (6 hours)

A. Basic Time Series Regression Analysis (3 hours)

Another look at our Classical Assumptions

Example of Time Series Models

Trends and seasonality

Reading:

Chapter 10.1-10.3, 10.5, 18.1

B. Further Issues in Using OLS with Time Series Data (3 hours)

Stationarity and weakly dependent time series

Use of Highly Persistent Time series

Testing for Unit roots

Cointegration and Error Correction Models

Reading:

Chapter 11.1-11.3, 18.2- 18.4

Correlation between error & regressors and Simultaneous Equation Models (6 hours)
Definition and causes of endogeneity
Omitted Variables
Measurement Error
Serial correlation in presence of lagged endogenous
variables
Simultaneity
Properties of the OLS estimator in presence of endogeneity
Instrumental Variable Estimation
Choice of instruments
Two-stage Least squares
Testing for Endogeneity Hausman test
Reading:

Chapter 9.4, 12.1, 15, 16.1-16.4