PAST CORE COURSES

EK0708 PRINCIPLES OF ECONOMETRICS

Basic Information

• Location: Helsinki, University of Helsinki

• Time: Academic year 2007-2008

  • Autumn term: Principles of Econometrics I

  • Spring term: Principles of Econometrics II

• Deadline for applications: August 24, 2007

  • Application form

  • Please note that the applicants will be informed of their acceptance soon after the deadline.

The course is divided in two parts: Principles of Econometrics I (autumn term) and Principles of Econometrics II (spring term). In total the course includes 48 hours of lectures and 24 hours of exercises (app. 5 credits/7 ECTS credit points).

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Teaching Staff

• Instructor: Professor Timo Kuosmanen (MTT Agrifood Research Finland), part I and II

• Teaching assistant: Mika Kortelainen (University of Joensuu), part I and II

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Course Requirements and Exams

The course can be passed by:

• taking two midterm exams (the points of the midterm exams are added together): the first midterm exam is arranged in the autumn term and the second midterm exam is arranged in the spring term AND/OR
• taking a retake exam in the spring term (part I and II must be examined together) AND
• writing a term paper (consisting of an independent empirical study, see instructions-pdf) AND
• solving a sufficient number of problems correctly (separately for part I and part II): in practise this means that the exams (both the midterm exams and the retake exam) can only be taken by those who have solved at least 50% of the given problems "showing good effort" so that the principles of solution are correct - mistakes in mechanical calculations are allowed, however, and
• getting 40 % of the combined maximum points of the two midterm exams (at the minimum):
  • the final grade consists of two midterm exams or a retake exam (60% of the final grade), exercises (10% of the final grade) and a term paper (30% of the final grade)

Please note that the students' home departments are responsible for registering the grades according to their own requirements. FDPE gives the students, on request, a certificate of the courses passed within the programme.

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Topics

Topics covered in the course include:

• maximum likelihood estimation

• GLS estimation

• instrumental variables

• dynamic models

• simultaneous equations

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How to prepare yourself for the course

• Instructions on how to prepare yourself for the FDPE course on Principles of Econometrics by Professor Kuosmanen:
  Buy the textbook [W. Greene 2003, Econometric Analysis, 5th Edition, Pearson Education] now (unless you already have it), and study Appendices A-C carefully before the first lecture of the course. These appendices provide concise summaries of some basic facts about matrix algebra (A), probability and distribution theory (B), and estimation and inference (C), which you are expected to know already. This knowledge is necessary for you to effectively follow the lectures and especially the textbook (which uses a heavy dose of matrices and vectors). Since this is an advanced level econometrics course, we cannot spend time for reiterating these elementary topics during the lectures. If the topics of Appendices A-C are familiar to you, you may just quickly glance through the material. If not, then more thorough self-study may be necessary. Study material in Appendices A-C directly, and use some introductory / intermediate level texts dealing with these topics (can be math or statistics, preferably texts you have used in your earlier studies) as additional reference.
• Instructions on how to prepare yourself for the 1st year FDPE core courses

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