Econometrics

Table of contents

1.Multivariate linear regression model with OLS : basic notions             

2.Multivariate linear regression model with OLS :

• Assumptions; Gauss-Markov theorem; Partialling-out interpretation

• Endogeneity: the omitted variable probem; Instrumental variables; testing endogeneity; testing overidentification restrictions 

• Proxy variable as solution to the omitted variable problem

• Measurement error in dependent variable

• Heteroskedasticity 

Schedule and lecture notes

1 / Thursday, 23-01-2025

13h15 – 14h45 [lecture note]

2 / Friday, 24-01-2025

09h45 - 11h30 [lecture note]

3 / Monday, 27-01-2025

09h30 - 11h00 [lecture note]

4 / Tuesday, 28-01-2025

08h00 - 09h30 [lecture note]

5 / Tuesday, 28-01-2025

16h45 - 18h15 [lecture note]

6 / Monday, 03-02-2025

16h45 - 18h15 [lecture note]

7 / Monday, 10-02-2025

16h45 - 18h15 [lecture note]

8 / Thursday, 13-02-2025

08h30 – 10h00 [lecture note]

9 / Thursday, 20-02-2025 (EXAM)

08h00 – 09h00

Slides [pdf (update: 27/01/2025)]