KECD 2220 - ECONOMETRICS 1: Probability and Statistics

Organisation

This course serves as an introduction to statistical inference and econometrics at the graduate level :

• First, basic concepts in probability theory (i.e., random variables, their distributions, and their moments) are reviewed.
• Next, we move to statistical inference. Methods for point and interval estimation (least-squares, maximum likelihood, and method of moments) are introduced and criteria for evaluating their performance (bias, efficiency, consistency, and various risk measures) are discussed.

Procedures to perform hypothesis testing (t-test, F-test, Wald, Likelihood ratio, and Lagrange multiplier) are also developed.

• Finally, estimation and testing in the linear regression model is studied in detail.

Prerequisites

None

Grades and assessments:

• a midterm exam and participation (50%),
• a final exam (50%),