Compulsory Course - 1st Semester (Autumn 1st year) | Course ID: 0004 | E-Class

Lecturer

Dimitrios Moschos

Language of instruction

Greek

Course outline

• Probability Theory and Distribution Theory: Joint distribution, Marginal distribution and Bounded distribution. Multivariate Normal Distribution.
• The Linear Regression Model and the Least Squares Method.
• The Least Squares Estimator: properties in finite samples and asymptotic properties. Confidence intervals for estimates and for predictions. Data problems (Multicollinearity, measurement errors, outliers).
• Hypothesis Testing and Model Selection: methodological approaches (Wald criterion, constrained estimation vs. unconstrained estimation). Asymptotic tests. Non-linear constraint tests (Delta method).
• Econometric Model Specification: Methodological approaches to deal with specification error
• Correlated form and nonlinearities: Use of dummy variables, categorical variables, nonlinearity in explanatory variables (partial linear regression, nonlinear functional forms, variable interactions), structural change.
• Endogeneity of explanatory variables and estimator of auxiliary variables: Common causes of endogeneity. Structural models and reduced form equations. Statistical tests for selecting the appropriate estimator.
• Heteroskedasticity in errors: Forms of heteroskedasticity. Generalized Least Squares Method. Statistical tests of heteroscedasticity. Estimation of models with heteroscedastic errors
• Autocorrelation in errors: Forms and causes of autocorrelation. Statistical tests of autocorrelation.  Estimation of models with autocorrelation.
• Systems of Equations: Seemingly unrelated equations and the Generalized Least Squares Method. Structural form, the identification problem and estimation methods.

Bibliography

• Green, William H., Econometric Analysis, 7^th edition, Essex, Pearson, 2012.
• Johnston, Jack, and John Dinardo, Econometric Methods, 4^th edition, McGraw-Hill, 1996.
• Stock, James H., and Mark W. Watson, Introduction toEconometrics, 4^th edition, Pearson, 2020
• Hayashi, Fumio, Econometrics, Princeton, NJ, Princeton University Press, 2000.
• Χρήστου, Γεώργιος Κ., Εισαγωγή στην Οικονομετρία, Α και Β Τόμος, Αθήνα, Gutenberg, 2004.
• Τζαβαλής, Ηλίας, Οικονομετρία, Αθήνα, Έκδοση Οικονομικού Πανεπιστημίου Αθηνών, 2008

Assessment

Written assignment-examination in Greek (handed in before the written exams) and written exams after the end of the semester as well as a re-examination in September. The examination paper and the written examinations are of equal value. The answer to each question will receive a certain number of points explicitly specified.