## Public University of Navarre

Academic year: 2024/2025 | Previous academic years:  2023/2024  |  2022/2023  |  2021/2022  |  2020/2021
 Course code: 174403 Subject title: ECONOMETRICS Credits: 6 Type of subject: Mandatory Year: 2 Period: 2º S Department: Lecturers: HUALDE BILBAO, JAVIER (Resp)   [Mentoring ]

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### Module/Subject matter

Quantitative Methods / Quantitative Methods

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### Contents

First, we will introduce the idea of econometric model. This model must take into account the special features of economic data. We will focus on the ideas of causality and ceteris paribus analysis, arising from the correct interpretation of these models. From a formal viewpoint, the initial step towards an appropriate conceptual framework will be to introduce the simple regression model. Here, we will study the basic assumptions, interpretation of parameters of interest, ordinary least squares estimation and statistical properties of the estimators.

The second building block of the course is the study of the general regression model. We will analyze its basic properties, focusing on the motivation behind multivariate regression, stressing its usefulness over the bivariate framework which characterizes the simple regression model. Again, we will study in this more general framework the basic assumptions, interpretation of parameters of interest, ordinary least squares estimation and statistical properties of the estimators.

In the last part of the course, we will give a brief introduction to two extensions of the previous model: regression with panel data and regression with a binary dependent variable.

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### Learning outcomes

RA01: Identify relevant economic information sources for the company and their content.
RA02: Understand economic institutions as the result and application of theoretical or formal representations of how the economy works.
RA03: Derive relevant information for the company from data that cannot be recognized by non-professionals.
RA20: Plan, organize, and control global management projects or those of the different functional areas of the company.
RA25: Use personal, social, and methodological knowledge, skills, and abilities to issue advisory reports on specific situations of companies and markets.
RA29: Develop the skills necessary to understand and apply quantitative techniques to the interpretation and resolution of socioeconomic problems.

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### Methodology

Lectures

Presentation of the main theoretical aspects of the course. Student participation: questions made by the lecturer, brief presentations of previous lectures.

Classes

Classes in computer room. Small groups. Presentation and revision of exercises made individually and in small groups. Use of econometric packages (GRETL).

Individual and team work

Preparation of exercises and presentations.

Periodic tutorials with lecturer

Individual and group meetings.

Personal study and exam

 Activity Hours On-site 60 Lectures 30 Classes 30 Self-preparation 90 Self-study 38 Individual preparation of exercises and presentations 26 Team preparation of exercises and presentations - Exam preparation 20 Tutorials 06 Others -

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### Evaluation

Learning
outcome
Assessment
activity
Weight (%) It allows
test resit
Minimum
Theoretical tests and class participation 25% Yes* None
Tests in computer classroom and class participation 25% Yes* None
Final exam 50% Yes* 3 out of 10

Those students who do not attend the final exam will get a grade of "No Presentado"
*recoverable through a single exam that will weigh 100% of the grade.

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### Agenda

Chapter 1. Introduction
Economic questions we examine
Causal effects and idealized experiments
Data: Sources and types

Chapter 2. Linear regression with one regressor
The linear regression model
Estimating the coefficients of the linear regression model
Measures of fit and prediction accuracy
The least squares assumptions for causal inference
The sampling distribution of the OLS estimators
Testing hypotheses about one of the regression coefficients
Confidence intervals for a regression coefficient
Regression when X is a binary variable
Heteroskedasticity and homoskedasticity
The theoretical foundations of ordinary least squares
Using the t-statistic in regression when the sample size is small

Chapter 3. Linear regression with multiple regressors
Omitted variable bias
The multiple regression model
The OLS estimator in multiple regression
Measures of fit in multiple regression
The least squares assumptions for causal inference in multiple regression
The distribution of the OLS estimators in multiple regression
Multicollinearity
Control variables and conditional mean independence
Hypothesis tests and confidence intervals for a single coefficient
Tests of joint hypotheses
Testing single restrictions involving multiple coefficients
Confidence sets for multiple coefficients
Model specification for multiple regression
Analysis of the test score data set
A general strategy for modeling nonlinear regression functions
Nonlinear functions of a single independent variable
Interactions between independent variables
Nonlinear effects on test scores of the student-teacher ratio
Internal and external validity

Chapter 4. Regression with panel data
Panel data
Panel data with two time periods
Fixed effects regression
Regression with time fixed effects

Chapter 5. Regression with a binary dependent variable
Binary dependent variables and the linear probability model
Probit and Logit regression
Application to the Boston HMDA data

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### Bibliography

Access the bibliography that your professor has requested from the Library.

The main references for the course are:

Stock, J.H. and Watson, M.W. "Introduction to econometrics". Pearson Education Limited; 4 edition (2020).

Wooldridge, J.M. "Introductory econometrics: a modern approach". Cengage Learning Inc.; 7 edition (2020).

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English.

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### Location

Classroom and Computer room at the Aulario.

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