316202 Statistical and econometric models (V) (SoSe 2009)

The first part of the course will cover basic elements of statistical modeling such as regression point and interval estimation as well as hypothesis testing.

The second part will deal with linear models, e.g., least squares and generalizations.

The third part introduces semi- and nonparametric methods.

There will be a written midterm around end of may and a final exam for QEM students at the end of the semester.
All others will have oral exams dated by appointment.

Teilnahmevoraussetzungen, notwendige Vorkenntnisse

Basic knowledge of Econometrics, Statistics, Linear Algebra, Analysis, and Probability.

Literaturangaben

Out of many nice texts in the market, here is a short list of some recommended books (in alphabetical order). These books have different scope and a rather low level of mathematical rigor. Each covers most of the topics discussed in the course.

Amemiya,T. (1985) Advanced Econometrcis. Cambridge.
Casella, G. and R.L. Berger (2002) Statistical Inference. Duxbury.
Davison, A.C. (2003) Statistical Models. Cambridge.
Greene, W.H. (2008) Econometric Analysis. 6e. Pearson.
Peracchi, F. (2001) Econometrics. Wiley.
Ruppert, D., M.P. Wand, and R.J. Carroll. (2003) Semiparametric regression. Cambridge.
Ruud, P. (2000) An Introduction to Classical Econometric Theory. Oxford.
van der Vaart, A.W. (1998) Asymptotic Statistics. Cambridge.
Wooldridge, J.M. (2001) Econometric Analysis of Cross Section and Panel Data. MIT Press

NOTE: the course does not adopt one particular text!