E2. Statistical Foundations of Econometric Modelling

Objectives

Statistical motivation for econometric methods are presented in this study unit. The focus is on the most essential results of mathematical statistics and their relation to econometric research. The main themes are probability calculus including stochastic processes, statistical inference and especially econometric modelling. During the course the classical linear regression model is generalised to allow for stochastic regressors, variable parameters and dynamic models.

The course is intensive and proceeds quickly. Attending students are supposed to have a good knowledge of intermediate studies in statistics. The aim is to give an insight into the opportunities, problems and assumptions in econometric research.

Prerequisites

Intermediate studies in statistics and study units S1 and S2.

Mode of assessment

A lecture course (48 hours) in Finnish, an active participation in the theory and computer exercises and examinations.