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Course on ECONOMETRICS
developed by Dr. Elena Lazareva,
Professor at the Department of Economic Cybernetics
Overview
Econometrics is one of the basic disciplines of economics’ education in the
world. Econometrics course is one of the key positions among modern preparatory
programs for economists.
Econometric methods have become an integral part of any economic science’ tools. Using them together with a detailed economic analysis opens up new
opportunities for economic theory and practice.
Without knowing this subject well enough, neither being able to use its
tools, it is neither possible to verify empirical correlations represented in books
and articles, nor to get a new correlations, and as a result nor to advance new theories. Without econometric techniques it is impossible to make any reliable forecast,
so success in banking, finance and business is in doubt. Therefore Econometrics is
the part of "core" curriculum of modern economic institution, along with such
items as microeconomics, macroeconomics, financial analysis. It also should be
closely associated with the listed courses, giving no abstract and formal, but practical knowledge.
This course is an author’s extension of econometric methods and models
many years teaching experience, to students of the economics department at the
Southern Federal University and the Institute of Economics and International Economic Relations, that study the field of "Mathematical Methods in Economics",
"Finance and Credit", "Accounting and Auditing," "The World Economy ", "Applied Informatics in Economics". The content of the course meets the econometrics
state standard for undergraduate in economics related to the "Econometrics", and
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allows students to explore both the methodology and the options of application of
econometrics methods to solve specific economic problems.
Successful accomplishment of this course requires a possession of mathematical tools, basic economic theory and socio-economic statistics knowledge
within the requirements of state universities programs of these disciplines and provides a theoretical basis for studying block of disciplines associated with modeling
of socio-economic processes and phenomena. Studing of econometrics allows future professional to acquire necessary basic skills, to broaden his/her horizons, to
increase the level of thinking and a common culture. He/she will need all these for
an orientation in professional activity and successful working.
The Purpose of the Course is to give a holistic view of the totality of econometric techniques, which helps give a specific quantification of general economic
laws, as well as of system of econometric models used for making theoretical and
applied economic decisions. The discipline is to give students a basic foundation of
knowledge regarding the principles and procedures of the application of econometric methods for studying functioning and development of economic systems at different levels of hierarchy, to help building of practical skills in construction and
application of econometric models. To this end, particular attention is paid to the
relation of econometrics, economic theory and economic statistics. After completing this course, students should have an idea of the role of econometric modeling
as a tool of learning and learn practical methods for applied research.
The Study Objective is mastering the econometric methods and techniques
of construction and analysis of econometric models, studying of the mathematical
apparatus criticus of these methods and models, of opportunities for their application for solutions in specific economic situations.
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Training and Thematic Plan
of the course «Econometrics»
Total volume - 6 ECTS Credits
Classroom
training (час)
In
total
(houre
s)
Lectures
Practicies
Моdule 1: Econometric Methods in Economic
Decision-Making: The Methodology And
Practices Knowledge’ Need
Theme 1: The Subject and Methods of Econometrics. Basic Econometric Concepts
Theme 2: The Place of Econometrics in the Economic Sciences System
Theme 3: Scopes of Econometric Methods and
Models’ Application
Theme 4: Evolution of Econometrics
20
6
4
10
4
2
-
2
2
2
-
-
4
2
-
2
4
-
2
2
Theme 5: Specific Characteristics of Econometric
Method
Моdule 2: Methodological Issues of Econometric Models’ Constructing
Theme 6: Mathematical Statistics As The
Econometrics’ Instrumental Base
Theme 7: Elements of Econometric Modeling
4
-
2
4
20
4
6
10
4
-
2
2
8
2
2
4
8
2
2
4
20
7
3
10
5
2
1
2
Modules and themes’ name
Theme 8: Characteristics of Econometric Modeling’ Stages
Моdule 3: Pair Regression And Correlation
Models In Econometric Studies
Theme 9: Pair Regression Models’ Specification
Self
Study
3
Theme 10: Linear Regression: Meaning and Estimation of Parameters
Theme 11: Estimation of Linear Regression Parameters and Correlation’ Significance
Theme 12: Economic Processes’ Linear Regression Models
Моdule 4: Nonlinear Regression Models and
their Linearization
Theme 13: Nonlinear Regression Model
6
2
1
3
6
2
1
3
3
1
-
2
20
6
4
10
11
3
2
6
Theme 14: Correlation for Nonlinear Regression
9
3
2
4
Моdule 5: Multiple Regression Models
Theme 15: Multiple Regression Model Specification: Problem of Factors’ Selection
Theme 16: Regression Equation Form Selection
Theme 17: Multiple Regression Equation Estimation Parameters
Моdule 6: Partial Regression Equations,
Dummy Variables and Models with Qualitative
Dependent Variable
Theme 18: Partial Regression Equations
Theme 19: Regression Model with Variable Structure. Dummy Variables in Multiple Regression
Theme 20: Models with a Qualitative Dependent
Variable
Моdule 7: Multiple Correlation
20
7
6
2
4
2
10
3
6
7
2
2
1
1
3
4
20
6
4
10
7
6
2
2
2
1
3
3
7
2
1
4
20
6
4
10
Theme 21: Multiple and Partial Correlation Indicators
Theme 22: The Reliability Estimation of Multiple
Regression and Correlation Results
Моdule 8: Ordinary Least Squares (OLS)
Method
Theme 23: Prerequisites of OLS. Homoscedastic
And Heteroscedasticity
Theme 24: Generalized OLS
Theme 25: Examples of OLS in Econometric
Studies
Моdule 9: Systems of Econometric Equations
Theme 26: General Concept of Econometric
Equations’ Systems Using in Economics
Theme 27: Structural and reduced forms of a
model
Theme 28: Problem of identification
11
3
2
6
9
3
2
4
20
6
4
10
7
2
2
3
6
7
2
2
1
1
3
4
20
5
7
2
3
1
10
2
6
2
1
3
6
2
1
3
4
Theme 29: Estimation of a structural model
characteristics
Моdule 10: Models Of Stationary and NonStationary Dynamic Series
Theme 30: The Specific and Basic Elements of
Dynamic Series. Autocorrelation of Dynamic
Series` Levels and its Structure Detection
Theme 31: Modeling of dynamic series` tendency, seasonal and cycling variations of dynamic
series
Theme 32: Modeling of dynamic series` tendency
involving structural changes
Theme 33: Stationary and Integrable Stochastic
Processes
Theme 34: Difference method and inerrability
Моdule 11: Applied Econometrics
Theme 35: Range of application of econometric
methods in economics
Theme 36: Pricing model of principal capital
(PPC): pair regression analysis
Theme 37: Multiple Regression Model of Region’s Investment Appeal Estimation
In total
3
1
-
2
20
7
3
10
5
2
1
2
6
2
2
2
3
1
-
2
3
1
-
2
3
1
-
2
16
4
4
2
4
-
8
2
6
1
2
3
6
1
2
3
216
65
43
108
5
MONITORING SYSTEM
The final assessment of the course is determined by the results of monitoring
on the basis of a rating system based on the outcome of the oral response classification, presented individually made reports on laboratory work, written essay, as
well as active participation in lecture classes.
Grading students on the rating system is determined in accordance with Table 1
Table 1
Excellent
90-100 points
good
80-89 points
satisfactory
65-79 points
unsatisfactory
less than 65 points
Determination of credit is made according to table 2.
Table 2
1. Active participation in lectures and seminars (quality recording Up to 20
of lectures and practical training material)
2. The results of case studies in laboratory studies
Up to 35
3. Essay
Up to 45
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