Econometrics - Modeling and Systems Estimation

Knowledge

You should know

• multiple regression analysis with stochastic regressors, with the specification and interpretation of simultaneous equation systems, and with identification problems which may arise when trying to make inference on economic relationships containing more than one endogenous variable from non-experimental data
• selected estimation methods for linear single equations in multi-equation models, for models with measurement errors, for simple dynamic models (both single-equation and VAR systems). Examples related to household and firm behaviour and simple relationships considered in macroeconomic theory will also be discussed.
• basic econometric terminology and estimation and test principle

Skills
You should be able to

• formulate and estimate simple econometric models by econometric software
• formulate simple single- and multi-equation econometric models from economic theories and interpret such models
• recognise why empirical analysis of economic relationships requires specific methods and why econometricians often need a far larger tool-box than classical regression analysis. Further, the course will enable you - using actual observations and suitable software
• estimate parameters in simple econometric models, both single- and multi-equation models and to test simple hypotheses using actual observations and suitable software
• have critical attitudes to data and measurement problems in economics as well to the scope of economic theories
• evaluate critically empirical work performed by others

Competence
You should

• be able to read and understand project reports and journal articles that make use of the concepts and methods that are introduced in the course
• be able to make use of the course content in your own academic work, for example in analyses that are part of the master || chr(38) ||rsquo;s thesis

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in StudentWeb.

Students enrolled in other Master || chr(38) ||#39;s Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

International applicants, if you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.

The examination in this course is not available for external candidates. Only students admitted to the course may sit for the examination.

Lectures: 2 hours a week throughout the semester.

Seminars: 2 hours a week through parts of the semester.

Instruction in/exercises with PCs: 2 hours a week through parts of the semester.

There might occur weeks exempt from teaching.

Your course portfolio must be approved before you can present your self for the written school exam.

Access to teaching

A student who has completed compulsory instruction and coursework and has had these approved, is not entitled to repeat that instruction and coursework. A student who has been admitted to a course, but who has not completed compulsory instruction and coursework or had these approved, is entitled to repeat that instruction and coursework, depending on available capacity.

The assessment for this course is based on a 5-hour home exam in Inspera.

Compulsory activity must be approved in order to sit for the exam.

Previous exams

Exam papers with comments from examiner

Resources allowed: Open book examination where all printed and written resources, in addition to calculator, are allowed.

You can usually resit an exam, but the conditions depend on whether you had a valid reason for absence from the regular exam. Read more about resitting an exam.

The Department of Economics has passed following resolution for ECON-courses: It will no longer be possible for candidates to register for an exam in a lower level course after having passed exams in intermediate and advanced level courses in the same subject area (also where there are no pre-requisites that apply to the intermediate course). Further information can be found here.

Students who might wish to retake the exam later, are not guaranteed that the course is ever repeated with a similar reading list, nor that the exam arrangement will be the same.

Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.

The problem set will be given in English. Answers can be given in Norwegian, Swedish, Danish or in English. See || chr(38) ||sect; 6.4 i Forskrift om studier og eksamener ved Universitetet i Oslo .

You may request an explanation of your grades, and you may also appeal against your grades or make a complaint about formal examination errors. Read more about explanations and appeals.

Evaluation

Feedback from our students is essential to us in our efforts to ensure and further improve the high quality of our programmes and courses. All courses are subject to continuous evaluation. At regular intervals we also ask students on a particular course to participate in a more comprehensive, periodic evaluation of this course.

Overlapping courses

Reading list

For this course, there are two alternative reading lists, one for Norwegian-reading students (A) and one for non-Norwegian-reading students (B)

A. FOR NORWEGIAN-READING STUDENTS:

E. Biørn: Økonometriske emner, 3. utgave (Econometric Topics, 3rd edition, in Norwegian) Unipub 2009. Kapitlene 1, 2.1-2.4, 3, 4, 5.4, 5.5, 5.6.a, 6.3.a, 6.4.a, 6.5, 7.1-7.6, 8, 10.1-10.4.

B. FOR NON-NORWEGIAN-READING STUDENTS:

Davidson, R. and J.G. MacKinnon: Econometric Theory and Methods, 2004. Oxford University Press

Supplementary texts in the form of handouts may be added during the semester

All students are recommended to acquire basic knowledge of matrix algebra.

If you have a disability or a health problem that entails significant inconvenience in an examination situation, you may be considered for special examination arrangements. Mothers who are breastfeeding may apply for extra time to complete the exam.

A student may sit this exam up to 3 times. If a student wishes to withdraw from the exam, s/he must do so in StudentWeb at least two weeks prior to the first day of the exam. Failure to do so will be counted as one of the three opportunities to sit the exam.