2020/2021

Методы эконометрики

Статус: Дисциплина общефакультетского пула

Кто читает: Международный институт экономики и финансов

Где читается: Международный институт экономики и финансов

Когда читается: 3, 4 модуль

Преподаватели: Демешев Борис Борисович

Язык: русский

Кредиты: 3

Контактные часы: 32

Программа дисциплины

Аннотация

Course Pre-requisites: Probability theory and Statistics, Econometrics (first semester), Linear algebra, Calculus. This course is a part of ICEF-Academia project. The course will cover hard topics in econometrics, in particular we will pay bigger attention to matrix and geometry aspects of Econometrics, probability limits, maximum likelihood foundations. The course will be problem-oriented. The course will be useful for those who would participate in Econometrics Olympiad, those who are doing econometrics-related researh project or those who love hard problems.

Цель освоения дисциплины

• The aim of the course is twofold: prepare the participants to the Econometric Olympiad and deepen the knowledge of some topics in Econometrics.

Планируемые результаты обучения

• - use the matrix language in Econometrics
• - be able to calculate probability limits of estimators under some assumptions
• - use the geometry of OLS to prove theorems
• - apply three classical ML tests (Wald, LR, LM) in various situations
• - acquire experience in problem solving

Содержание учебной дисциплины

• Matrix language
  OLS, GLS in matrix form, properties of covariance matrices, practice with covariance matrix calculation. Hat matrix. The meaning of (X'X)^{-1} if time permits.
• Geometry of LS
  Geometry of OLS, geometrical proof of Gauss-Markov theorem. Chi-squared distribution.
• Probability limit
  Properties of probability limits. Calculations for IV estimators.
• Maximum likelihood foundations
  Expectation of score function, Fisher information, Wald, LR, LM tests.

Элементы контроля

• Econometrics Olympiad problems
• Final exam

Промежуточная аттестация

• Промежуточная аттестация (4 модуль)
  0.5 * Econometrics Olympiad problems + 0.5 * Final exam

Список литературы

Рекомендуемая основная литература

• Wooldridge, J. M. . (DE-588)131680463, (DE-576)298669293. (2006). Introductory econometrics : a modern approach / Jeffrey M. Wooldridge. Mason, Ohio [u.a.]: Thomson/South-Western. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.250894459

Рекомендуемая дополнительная литература

• Schmidheiny, K., & Siegloch, S. (2019). On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications.