Эконометрика I

Бакалавриат 2020/2021

Статус: Курс обязательный (Международный бизнес и менеджмент/ Менеджмент)

Направление: 38.03.02. Менеджмент

Где читается: Санкт-Петербургская школа экономики и менеджмента

Когда читается: 3-й курс, 1 модуль

Формат изучения: без онлайн-курса

Преподаватели: Александрова Екатерина Александровна, Гарипова Фарида Габдулхаевна, Давитадзе Арсен Паатович, Заздравных Евгений Александрович, Кислицын Дмитрий Викторович, Хабибуллина Алина Ришатовна

Язык: английский

Кредиты: 4

Контактные часы: 40

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Abstract

This course provides students with skills in basic econometrics analysis for management studies. In addition, the course covers the theoretical aspect of linear and discrete choice models. These models are the most popular ones in econometrics analysis for management studies, and they are frequently used for empirical term papers and bachelor theses. In sum, the course provides a balanced study of applied and theoretical aspects of econometrics, all of which are necessary for basic econometric analysis.

Learning Objectives

The objective of this course is to provide students with the basic knowledge of econometrics. Studies will learn the linear regression model theory and its applications in economics or management or finance.

Expected Learning Outcomes

to know how the research questions can be solved using econometrics
to learn how to calculate linear regression coefficients
to know how to interpret coefficients of the linear regression model
to know Gauss-Markov Theorem
to be able to detect heteroscedasticity problem
to learn how to calculate multivariable regression coefficients
be able to detect the multicollinearity problem
to be aware of the consequences of the omitted variable bias
be able to interpret interaction effects and squared terms
be able to export STATA outputs to MS Word
to know what we have to write in econometric research

Course Contents

Introduction
Students learn what econometrics is. In addition, we discuss typical research questions are used in econometric studies. Finally, we consider basic problems with data management.
The Linear Regression Model: an Overview
This topic is about the OLS estimator. We study why we use OLS estimator. Moreover, we consider the population and sample regression. In addition, we learn how to calculate linear regression coefficients and interpret the results.
The Gauss-Markov Theorem.
This topic is about assumptions of the linear regression model. We discuss why these assumptions are important for the model. In addition, we consider what if the homoscedasticity assumption cannot be held in our study.
Multiple Regression Analysis
This topic considers the problem of the omitted variable. The possible solution to this problem is to use the variable (or proxy) that has been omitted in the model before. Thus, we turn to the multivariate regression model. We discuss how to calculate coefficients of the multivariable model and learn one of the most common problems of these models: multicollinearity.
Multiple Regression Analysis: tests
In this topic we discuss how to verify if the multivariable model shows reliable results. We consider several basic tests that we use in the multivariable regression model.
Relaxing the Assumptions of the Classical Model
In this topic we discuss a real empirical reseach to show how the linear regression models works in practice. We discuss the problem of endogeneity and some other typical problems. In addition, what we have to write in an empirical research report.

Assessment Elements

Test 1
Test 2
Exam

Interim Assessment

Interim assessment (1 module)
0.6 * Exam + 0.2 * Test 1 + 0.2 * Test 2

Bibliography

Recommended Core Bibliography

Stock, J. H., & Watson, M. W. (2015). Introduction to Econometrics, Update, Global Edition (Vol. Updated third edition). Boston: Pearson Education. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1419285

Recommended Additional Bibliography

An introduction to modern econometrics using Stata, Baum, C., 2006
Brooks,Chris. (2019). Introductory Econometrics for Finance. Cambridge University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.cup.cbooks.9781108422536
Using Stata for principles of econometrics, Adkins, L.C., 2011

Course Syllabus