Teacher: Harald Lang, e-mail: lang<AT>kth.se, Dep. of Mathematics, KTH.

Econometrics

Econometrics is concerned with applying stastistical methods to economic or other problems where available data are observed rather than experimental; i.e., they don't come from controlled and planned experiments. This is commonly the case in economics, but often also in e.g. biology, medicine and social sciences.

The first task is to choose a good statistical model for the problem under study, and then to perform the mathematical analysis of this model. Hence, both mathematical modelling and mathematical analysis are important components of applied econometrics, and I will touch upon both these aspects in this course.

Required Reading

We use Bruce Hansen's text (pdf) that you can download from his web page; the link is "ECONOMETRICS Text (draft)" near the bottom of the page. I will use the jan. 2008 revision. This text focuses (as is typical for texts on econometrics) on the mathematical and numerical procedures for estimating given models, less on the problem of specifying a relevant model and choosing the most adequate estimating procedure. (In practice, the actual numerical analysis is performed by some computer programme, like GAUSS, SAS, LIMDEP, TSP, RATS...) We will talk also on these matters, and my primary source for these matters is the excellent book

Kennedy, Peter, "A Guide to Econometrics," 6:th ed., Wiley-Blackwell, 2008.

This is not required reading, but you may wish to buy it anyway, as it is a suitable complimentary text to a more technical one like Bruce Hansen's.

A modern and very comprehensive book on econometrics is

Greene, William H., "Econometric Analysis" 6:th ed., PEARSON Prentice Hall, 2008. (NOT required reading!)

I have found a few printing errors in Hansens text which I have listed here. I will add more if I find any.

Some basic results are a bit difficult to locate in Hansen's text, so I have made a brief compilation of some results here. I will presumably uppdate this compilation during the course.

Syllabus

The syllabus is preliminary, and I will presumably not stick to it strictly. But I will maintain a "course log" under the link "Current Information" (top of this page). Please read that link regularly, as I may put other important information there too.

Examination

The examination is one written exam (6 cred.) and one assignment project (1.5 cred.) The next written exam takes place Wed. June 9:th 2010 at 2 pm–7 pm. Room will be announced here.

Aids: pocket calculator (N.B., no compilation of formulas or tables!)

Previous exams