Introduction to Econometrics

Vrije Universiteit Amsterdam

Course Description

  • Course Name

    Introduction to Econometrics

  • Host University

    Vrije Universiteit Amsterdam

  • Location

    Amsterdam, The Netherlands

  • Area of Study

    Economics

  • Language Level

    Taught In English

    Hours & Credits

  • ECTS Credits

    6
  • Recommended U.S. Semester Credits
    3
  • Recommended U.S. Quarter Units
    4
  • Overview

    COURSE OBJECTIVE
    By the end of this course students will have had an introduction to modern econometric techniques, that will enable them to conduct methodological or empirical analyses of their own. In particular, students will be familiar with both econometric theory and with real-world applications in macroeconomics, finance and business.

    COURSE CONTENT
    A review will be given of estimation and testing in the linear cross-sectional regression model. We will discuss the classical assumptions, and the consequences arising when these assumptions are not fulfilled. Throughout the course, the focus will lie on developing an intuition for state-of-the-art econometric concepts. A balance will be struck between theoretical derivations and empirical applications. The textbook used (see below) is particularly well-suited for this purpose, as it is targeted at an audience of advanced undergraduate students in economics and business studies. Extensive use will be made of the statistical software Stata, both for in-class illustration and for hands-on exercises.

    TEACHING METHODS
    Interactive lectures, theory exercises, and exercises in the computer lab.

    TYPE OF ASSESSMENT
    Final written exam (85%) and practical assignment (15%)

    RECOMMENDED BACKGROUND KNOWLEDGE
    This course assumes familiarity with probabilistic concepts such as discrete and continuous random variables, conditional expectations, hypothesis testing and central limit theorems, with the basics of matrix calculus, and with the essentials of regression analysis. This material, excluding matrix calculus, corresponds more or less to chapters 1-5 in Stock & Watson, and students are recommended to refresh their memory prior to the first lecture.

Course Disclaimer

Courses and course hours of instruction are subject to change.

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