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Econometrics I Course Outline_20221108 (3)

The course 'Econometrics I' at Addis Ababa University focuses on cross-sectional econometrics, covering basic concepts, simple and multiple linear regression models, and issues like multicollinearity and heteroscedasticity. Students will learn to distinguish between economic and econometric models, perform regression analyses, and interpret results using statistical packages. The course emphasizes attendance and academic integrity, with specific policies on late arrivals, plagiarism, and exam conduct.

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Hebron Girma
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61 views2 pages

Econometrics I Course Outline_20221108 (3)

The course 'Econometrics I' at Addis Ababa University focuses on cross-sectional econometrics, covering basic concepts, simple and multiple linear regression models, and issues like multicollinearity and heteroscedasticity. Students will learn to distinguish between economic and econometric models, perform regression analyses, and interpret results using statistical packages. The course emphasizes attendance and academic integrity, with specific policies on late arrivals, plagiarism, and exam conduct.

Uploaded by

Hebron Girma
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Addis Ababa University

College of College of Business and Economics


Department of Economics
Course Name: Econometrics I Course Code: Econ 3061
Course Description:
The course aims at introducing the theory (and practice) of cross-sectional econometrics. It
first makes an introduction to the basic concepts in econometrics like economic and
econometric modeling as well as types of data; then proceeds to the simple classical linear
regression model and introduces estimation techniques such as the method of moments,
ordinary least squares and maximum likelihood estimation, inference and analyses of
residuals. This is then built into the multiple linear regression framework. After making tests
of linear restrictions emanating from economic theory, the course will finally try to highlight
the problems of multicollinearity, heteroscedasticity and autocorrelation (violations of the
basic assumptions of classical linear regression models). The course builds upon your
previous course Statistics for Economists. Hence, familiarity with the material, particularly
sampling distributions, estimation and hypothesis testing will be of much help. These will be
applied on Ethiopian/international data using statistical packages.
Course Outcomes:
The main outcome of this course is to enable students have a good background knowledge on
cross-sectional econometric models. More specifically, after the completion of the course,
students are expected to:
• Distinguish between economic and econometric models.
• Do simple and multiple regression with economic data (both manually and using
statistical packages);
• Interpret regression results (like coefficients and R2) and test hypotheses (both
manually and using statistical packages); and
• Detect (in) existence of problems of multicollinearity, heteroscedasticity and
autocorrelation as well as suggest how to rectify such problems (both manually
and using statistical packages).
Course Contents for Lecture:
Chapter One: Introduction
1.1. Definition and Scope of Econometrics
1.2. Models: Economic models and Econometric models
1.3. Methodology of Econometrics
1.4. The Sources, Types and Nature of Data
Chapter Two: Simple Linear Regression
2.1. Concept of Regression Function
2.2. Method of Moments & Method of Ordinary Least Squares
2.3. Residuals and Goodness-of-fit
2.4. Properties of OLS Estimates and Gauss-Markov Theorem
2.5. Maximum Likelihood Estimation
2.6. Confidence Intervals and Hypothesis Testing
2.7. Predictions using Simple Linear Regression Model

1
Chapter Three: Multiple Linear Regression
3.1. Method of Ordinary Least Squares revised
3.2. Partial Correlation Coefficients & their Interpretation
3.3. Coefficient of Multiple Determination
3.4. Properties of Least Squares and Gauss-Markov Theorem
3.5. Hypothesis Testing in Multiple Linear Regression
3.6. Predictions using Multiple Linear Regression
Chapter Four: Violations of the Assumptions of the Classical Linear Regression Model
3.1. Heteroscedasticity
3.2. Autocorrelation
3.3. Specification Errors: Consequences of Omission of relevant and inclusion of irrelevant variables
3.4. Tests of Parameter Stability
3.5. Multicollinearity
Course Policy
❖ Late coming is not allowed and no student is allowed to enter after class started.
❖ Plagiarism is strictly forbidden; it entails serious penalty.
❖ Assignments are required to be submitted before or on the deadline.
❖ While cheating during examination sessions results in a grade of “F “, cheating in quizzes
and tests is subjected to a zero mark in the particular quiz/test the student cheated. All
cheating cases will be reported to the department for further considerations.
❖ Students should switch off their cell phones while they are in class and during all kinds of
examination sessions.
❖ Students must at least attend 80% of the class. A student who failed to attend at least 80%
of the classes will not be legible to sit for the final examination.
❖ Missing a quiz/test without convincing evidence will fetch the students a grade of zero
marks in that specific quiz/test.
REFERENCES:
1. Gujarati, D. N. and D. C. Proter (2009). Basic Econometrics, 5th edition, McGraw-
2. Maddala, G. S. (1992). Introduction to Econometrics, 2nd edition, Macmillan.
3. Wooldridge, J. (2013). IntroductoryEconometrics: A Modern Approach, 5th ed.
4. Enders, W. (2014). Applied Econometric Time Series, John Wiley & Sons:, 4th ed.,
Singapore.
5. Koutsoyiannis, A. (2001). Theory of Econometrics, Palgrave: New York.
6. Johnston, J. and J.Dinardo (1997)Econometric Methods, 4th edition.
7. Kmenta, J. Elements of Econometrics, 2nd edition.
8. Intrilligator M.D, R.G. Bodkin, and D. Hsiao (1996). Econometric Models, Techniques
and Applications.
9. Verbeek (2004), A Guide to Modern Econometrics. New York: John Wiley & Sons, Ltd.

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