University of Exeter - BEE2020: Introduction to Econometric Theory

- The aim of this module is to help you understand the basic principles of econometric theory. The skills and knowledge acquired through this module will help you understand the foundation of econometrics and derive the major analytical results in econometrics. This module provides essential analytical tools for those intending to attend the third year module Econometric Analysis. It is also useful for those who wish to have a more theoretical understanding of econometrics. 

✔ (Summary) Main topics to be covered:

• Observations, variables and summary statistics; the two-variable regression model; the multiple regression model.
• Solving systems of equations; determinants and inverse matrices; linear dependence and rank.
• Probability distributions; the normal (Gaussian) distribution and its properties; the multivariate normal distribution; discrete distributions; continuous distributions derived from the normal: chi-squared , t, and F.
• Statistical inference in the classical regression model; properties of least squares; the projection matrices; residual variance estimation; efficiency and the Gauss Markov theorem.
• Eigenvalues, eigenvectors and diagonalization; the distribution of quadratic forms; OLS confidence regions; the t test; tests of linear restrictions.
• The partitioned regression model. Frisch-Waugh Theorem, specification analysis.
• Random regressors; conditional expectations; properties of OLS with random regressors; the Gauss Markov theorem with random regressors.
• Maximum likelihood estimation.