Econometrics

Table of contents

Linear regression model with OLS - key topics:

• Key assumptions and implications

• Heterogeneity: problems and solutions

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

• Measurement error in dependent variable

• Prediction and analysis of residuals

+ Possibly: Logistic model and (out of sample) prediction

Lecturer notes

• Class #1 (pdf)

• Class #2 and #3 (pdf)

• Class #4 (pdf)

• Class #5 (pdf)

• Class #6 (pdf)

• Class #7 (pdf)

Slides [pdf (update: 12/01/2026)]

Exam [2024-2025 (pdf)]