# 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

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

Students not admitted to the Master’s programme in Economics or the Master’s programme in Economic Theory and Econometrics (Samfunnsøkonomisk analyse), can apply for admission to one of our study programmes, or apply for guest student status.

## Prerequisites

### Formal prerequisite knowledge

You must also fulfill one of these prerequisites:

## 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, seminars and instruction in/exercises with PCs.

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.

When the course portfolio is approved, the result will be registered. The course portfolio will be valid for 8 consecutive semesters.

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.

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 4-hour written school exam.

If the Covid-19 situation makes it impossible to offer a written school exam in this course this fall, the exam will be a 5-hour digital home exam. The time for the exam might then be changed (but not the date). Information will be provided well in advance of the exam, if such changes are made.

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

Previous exams

Exam papers with comments from examiner

### 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.

From spring 2018 there are two calculators allowed for examinations:

• Aurora HC106 - a very simple calculator with most basic functionsfunctions
• Casio FX-85EX which is a scientific calculator with 274

All other calculator types will be rejected. The calculators are checked in the exam room. There is no opportunity to lend the calculator of fellow students.
You can buy the calculators at Akademika bookstore at Blindern, or online.

The same general rules for cheating also apply when using calculator.

### Language of examination

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

### 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.

### 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.

10

Master

Every autumn

Every autumn

English

## Contact

Department of Economics