Econometric Methods
ΚΩΝΣΤΑΝΤΙΝΟΣ ΔΡΑΚΟΣ
Course description
This course will focus on various aspects of analyzing economic/accounting/financial data and in particular on model building and testing. The core of the course will be regression analysis including estimation and inference of regression parameters. The course will also discuss methods for exploring the adequacy of a model based on measures of fit and residual analysis.
Detailed topics to be covered
- Review of main statistical concepts and types of economic/financial data by variation source (cross-sectional, time series, panel).
- Linear Regression with one Regressor, Ordinary Least Squares Principle, Interpretation of regression output, fitted values, residuals, measures of fit, hypothesis tests and confidence intervals.
- Multiple Regression, interpretation of regression output, measures of fit, multicollinearity, dummy variable trap, Joint hypotheses tests on multiple coefficients, Other types of hypotheses involving multiple coefficients.
- Nonlinear functions of one variable (polynomials, logarithmic transformations), interaction effects between independent variables (continuous/continuous, binary/binary, continuous/binary, binary/continuous).
- Time series data, terminology and fundamental properties, basic data generation processes (AR, MA, ARMA), deterministic trends, seasonality, regression with time series, residual diagnostic testing (serial correlation: Durbin-Watson test, LM test, time-varying variance: LM tests), Granger Causality.
- Introduction to Non-stationarity and Cointegration.
- Discrete Choice Models, binary-ordinal dependent variables (estimation, interpretation of model output).
Reading List:
- Draper, N. and Smith, H. “Applied Regression Analysis”
- Greene, W., “Econometric Analysis”
- Griffiths, W., Hill, C., Judge, G., “Learning and Practicing Econometrics”
- Johnston, J., “Econometric Methods”
- Maddala, “Introduction to Econometrics”
- Patterson, “An Introduction to Applied Econometrics”
- Stewart and Gill, “Introduction to Econometrics”
- Stock and Watson, “Introduction to Econometrics”
Course description
This course will focus on various aspects of analyzing economic/accounting/financial data and in particular on model building and testing. The core of the course will be regression analysis including estimation and inference of regression parameters. The course will also discuss methods for exploring the adequacy of a model based on measures of fit and residual analysis.
Detailed topics to be covered
- Review of main statistical concepts and types of economic/financial data by variation source (cross-sectional, time series, panel).
- Linear Regression with one Regressor, Ordinary Least Squares Principle, Interpretation of regression output, fitted values, residuals, measures of fit, hypothesis tests and confidence intervals.
- Multiple Regression, interpretation of regression output, measures of fit, multicollinearity, dummy variable trap, Joint hypotheses tests on multiple coefficients, Other types of hypotheses involving multiple coefficients.
- Nonlinear functions of
Course description
This course will focus on various aspects of analyzing economic/accounting/financial data and in particular on model building and testing. The core of the course will be regression analysis including estimation and inference of regression parameters. The course will also discuss methods for exploring the adequacy of a model based on measures of fit and residual analysis.
Detailed topics to be covered
- Review of main statistical concepts and types of economic/financial data by variation source (cross-sectional, time series, panel).
- Linear Regression with one Regressor, Ordinary Least Squares Principle, Interpretation of regression output, fitted values, residuals, measures of fit, hypothesis tests and confidence intervals.
- Multiple Regression, interpretation of regression output, measures of fit, multicollinearity, dummy variable trap, Joint hypotheses tests on multiple coefficients, Other types of hypotheses involving multiple coefficients.
- Nonlinear functions of
