ECON4160 - Econometrics - Modeling and Systems Estimation

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Course content

This is a basic course in advanced econometrics. Econometrics deals with evaluating economic theories and models, and investigating their validity by confronting them with data, using statistical methods. An important part of econometrics is concerned with developing methods for analyzing relationships in multi-equation models, with due regard to (a) the non-experimental, multi-causal nature of most economic variables, and (b) measurement errors.

Topics:

  • multiple regression analysis with stochastic regressors---matrix formulation
  • specification of simultaneous equation systems
  • the identification problem
  • estimation methods for single equations in multi-equation models, and for models with measurement errors
  • econometric specification and estimation of dynamic systems and models
  • econometric modelling for policy analysis and forecasting
  • examples related to behavioural models for households and firms
  • exercises in formulating and estimating simple econometric models, by using econometric software.

Learning outcome

Knowledge

You should know

  • multiple regression analysis with stochastic regressors, with the specification and interpretation of simultaneous equation systems, and with identification problems which may arise when trying to make inference on economic relationships containing more than one endogenous variable from non-experimental data
  • selected estimation methods for linear single equations in multi-equation models, for models with measurement errors, for simple dynamic models (both single-equation and VAR systems). Examples related to household and firm behaviour and simple relationships considered in macroeconomic theory will also be discussed.
  • basic econometric terminology and estimation and test principle


Skills
You should be able to

  • formulate and estimate simple econometric models by econometric software
  • formulate simple single- and multi-equation econometric models from economic theories and interpret such models
  • recognise why empirical analysis of economic relationships requires specific methods and why econometricians often need a far larger tool-box than classical regression analysis. Further, the course will enable you - using actual observations and suitable software
  • estimate parameters in simple econometric models, both single- and multi-equation models and to test simple hypotheses using actual observations and suitable software
  • have critical attitudes to data and measurement problems in economics as well to the scope of economic theories
  • evaluate critically empirical work performed by others

Competence
You should

  • be able to read and understand project reports and journal articles that make use of the concepts and methods that are introduced in the course
  • be able to make use of the course content in your own academic work, for example in analyses that are part of the master’s thesis

Admission

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.

If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.

Apply for guest student status if you are admitted to another Master's programme, or have completed a master in Economics at UiO or another Norwegian University.

Prerequisites

Formal prerequisite knowledge

Bachelor's degree in Economics, or equivalent.

Recommended previous knowledge

ECON2130 - Statistikk 1, ECON4130 - Statistics 2, ECON3150 - Introductory Econometrics / ECON4150 - Introductory Econometrics. Basic knowledge of matrix algebra.

Overlapping courses

  • 10 credits overlap with ECON456 Økonometri videregående
  • 10 credits overlap with Økonometri - videregående, 3. avd. samfunnsøkonomi
  • 10 credits overlap with Økonometri grunnkurs, 3. avd. sosialøkonomi

Teaching

Lectures: 2 hours a week throughout the semester.

Seminars: 2 hours a week through parts of the semester.

Instruction in/exercises with PCs: 2 hours a week through parts of the semester.

Compulsory tuition activities:

  • Course portfolio

If the course portfolio is not approved, you may be given a second attempt to hand in a new term paper/improve the term paper within a short deadline.

See The Faculty of Social Sciences' rules regarding compulsory tuition activities.

Absence from compulsory tuition activities

If you are ill or have another valid reason for being absent from compulsory tuition activities, your absence may be approved or the compulsory activity may be postponed.

Access to teaching

A student who has completed compulsory instruction and coursework and has had these approved, is not entitled to repeat that instruction and coursework. A student who has been admitted to a course, but who has not completed compulsory instruction and coursework or had these approved, is entitled to repeat that instruction and coursework, depending on available capacity.

Examination

A 3-hour written school exam.

You must have passed the mandatory activities in order to sit for the exam.

Previous exams

Use of sources and citation

You should familiarize yourself with the rules that apply to the use of sources and citations. If you violate the rules, you may be suspected of cheating/attempted cheating.

Examination support material

Resources allowed: Open book examination where all printed and written resources, in addition to calculator, are allowed.

Language of examination

The examination text is given in English.You may submit your response in Norwegian, Swedish, Danish or English.

Grading scale

Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.

Explanations and appeals

It is recommended to request an explanation of your grade before you decide to appeal.

Appeal

Explanation

The deadline to request an explanation is one week after the grade is published. For oral and practical examinations, the deadline is immediately after you have received your grade.

The explanation should normally be given within two weeks after you have asked for it. The examiner decides whether the explanation is to be given in writing or verbally.

Ask for an explanation about the grade in this course.

Ask for an explanation about the grade for postponed exam in this course

Resit an examination

If you are sick or have another valid reason for not attending the regular exam, we offer a postponed exam later in the same semester.

See also our information about resitting an exam.

Withdrawal from an examination

It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.

Special examination arrangements

Application form, deadline and requirements for special examination arrangements.

Evaluation

The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.

Facts about this course

Credits

10

Level

Master

Teaching

Every autumn

Examination

Every autumn

Teaching language

English