Course Outline 12/1/2022

Addis Ababa University Course description

School of Post Graduate Studies
 This is advanced econometrics course, designed to teach
students econometric estimation & inference methods at
an advanced level.
 It covers classical multiple regression model; functional
forms; specification analysis (specification errors, non-
Advanced Econometrics normality, heteroskedactity, autocorrelation,
Multicollinearity and outliers) & model selections.
 It also covers econometrics models for limited
dependent variables; binary & discreet models;
Sisay Debebe (PhD), Assistant Professor of Economics
sisaydebebe2000@gmail.com
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Course outline Course outline…

Course Objectives  The specific objectives of the course are to:

 The objective of the course is to equip students
with the knowledge & skill of econometrics &
able to read, analyze & conduct empirical
investigations in the field of economics.
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 Develop an understanding of the theory & application
of econometrics to quantifying economic relationships
& testing economic theories;
 Enable students to translate results from econometric
analysis based on economic principles into useful &
reliable policy reasoning;
 Apply econometric tools for prediction & policy
decisions.
 Provide students with practical experience of using
econometric computer software to fit economic
models.

Course outline… Course outline…

 Formulate econometric models in an empirically testable Chapter One

form; Introduction to Advanced Econometrics:
 Estimate & test econometric relationships with Fundamentals
observed data;
1. Definitions & Terminologies
 Analyze & interpret quantitative socioeconomic data;
 Assess cause & effect relationship of socioeconomics 2. Classification of Econometrics
variables;
 Equip students to read, evaluate & understand empirical
papers in professional journals.

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Course Outline 12/1/2022

Course outline … Course outline …

Chapter Two Chapter three

Classical Linear Regression Models-Simple Linear Classical Linear Regression Models- Multiple
Regression Model regression & multivariate analysis
1. Regression, Correlation & Causation 1. Multiple Regression
2. Use of regression analysis 2. Assumptions about the Model
3. A Model with two explanatory Variables
3. Variables in regression models
4. Regression equations with more than two independent
4. Types of regression analysis variables
5. Assumptions about regression 5. The Analysis of Variance (ANOVA) Table
6. Best-fitting straight line methods 6. Interpretation of F-statistics & R2
7. Matrix Approach to Multiple Regression
7. Quality of straight line fit
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8. Correlations & Multiple Regression 8

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Chapter four Chapter five

Model Specification Analysis-Violation of Classical Functional Forms & Simultaneous Equations
Regression Assumptions Methods
1. Introduction 1. Model Specifications-Deviations from linearity
2. Multicollinearity
3. Heteroskedasaticity 2. Selecting appropriate functional forms
4. Normality Assumption 3. Methods of linearizing equations
5. Autocorrelation
6. Specifications & Data Issues 4. The simultaneous equation problems
7. Functional Form Misspecification 5. Types of variables in simultaneous equation models

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Course outline … Course outline…

Chapter sex
Chapter six
Econometric Models for Limited Dependent
Software packages used for Data management &
Variables Analysis using software's
1. Introduction
2. Linear Probability Model
3. Models for Binary Choices
 Logit Vs Probit or Normit Model
 Tobit model and selection models
4. Ordered Choice Models
 Ordered Probit Vs Orderd Logit Model
5. Models for Unordered Multiple Choices
 Multinomial Probit Vs Multinomial Logit Model 11 12

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Course Outline 12/1/2022

References Mode of Assessment

 Wooldridge (200). Introductory Econometrics;  Assessment will be a combination of group

2nd ed.
 Verbeek, M. (2008). A Guide to Modern
Econometrics (3nd ed.). John Wiley and Sons
Ltd.
 Greene, William, H. (2000). Econometric Analysis
(Fourth Edition), Prentice Hall International.
assignment (30%) & Individual assignment(20%).
 Date of submission of group assignments will be
notified in class.
 There will also be a final examination whose
weight will be 50% of the total assessment.

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