Бакалавриат
2026/2027
Эконометрика
Статус:
Курс обязательный (Международная программа по экономике и финансам)
Кто читает:
Международный институт экономики и финансов
Где читается:
Международный институт экономики и финансов
Когда читается:
3-й курс, 1, 2 семестр
Охват аудитории:
для своего кампуса
Язык:
английский
Кредиты:
8
Контактные часы:
120
Course Syllabus
Abstract
Course Pre-requisites.
Statistics, Mathematics for Economists, Introduction to Economics.
Course description:
The Elements of Econometrics is an introductory full year course for the 3-rd year ICEF students. The course is taught in English. After taking the course the students should be able to choose the instruments for the data processing in accordance with the problem being solved, analyze the results and explain the conclusions.
The stress in the course is done on the essence of statements, methods and approaches of econometric analysis. The conclusions and proofs of basic formulas and models are given which allows the students to understand the principles of econometric theory development. The main attention is paid to the economic interpretations and applications of the econometric models. The actual Economic data, in particular recent data for Russian economy, is used for interpretations and applications. The first part of the course is devoted to the cross-section econometrics; the second part – to the time series and panel data econometrics.
Learning Objectives
- The course is aimed at explaining essential differences between the time series and cross section data and those specific econometric problems met in the work with these types of data (measurement errors, endogeneity, autocorrelation, non-stationarity and others), as well as with panel data, and applying the appropriate econometric methods (instrumental variables, maximum likelihood estimation, models of dynamic processes, etc.).
- The enables the students to get the skills of construction and development of linear regression models, get acquainted with some non-linear models and special methods of econometric analysis and estimation (binary choice models, non-linear least squares, maximum likelihood estimation), understanding the area of their application in economics.
- The methods and models should be mastered practically on real economic data sets with modern econometric software.
Expected Learning Outcomes
- apply econometric methods to the investigation of economic relationships and processes
- verify economic facts, theories and models with real data
- collect and adjust the real economic data for the application of Econometrics methods and models
- evaluate the quality of statistical and econometric analysis
- do and evaluate forecasting for time series and cross section data
- understand econometric methods, approaches, ideas, results and conclusions met in economic books and articles
- use the AI assistance for econometric analysis
Course Contents
- Introduction to Econometrics
- Simple Linear Regression Model (SLR). OLS estimation
- Multiple Linear Regression Model (MLR): Estimation and Inference
- Linear Regression Model Specification
- Multiple Regression Analysis: Variables Transformations, Non-Linear Models.
- Multiple Regressions with Qualitative Information. Dummy Variables.
- Heteroscedasticity
- Stochastic Regressors. Measurement Errors. Instrumental Variables.
- Simultaneous Equations Models
- Binary Choice Models, Limited Dependent Variable Models
- Modelling with Time Series Data. Dynamic Processes Models
- Autocorrelated disturbance term
- Time Series Econometrics: Nonstationary Time Series
- Panel Data Models
Assessment Elements
- final examIn order to get a passing grade for the course, the student must sit the final examination and get not less than 15/100 for it.
- October control paper
- January control paper
- home assignmentsIn all types of assignments (where allowed) possibility of using the AI assistance is taken into account. The student must indicate the type and volume of the AI assistance if it was used.
- Applied Econometric EssayThe Applied Econometric Essay to be submitted by May 30. Essay is an activity that accumulates the key skills and knowledge gained during the course: formulation of the research problem, collecting data, building econometric model(s), evaluation of the results. In all types of assignments (where allowed) possibility of using the AI assistance is taken into account. The student must indicate the type and volume of the AI assistance if it was used.
Interim Assessment
- 2026/2027 2nd semester0.4 * final exam + 0.15 * home assignments + 0.15 * October control paper + 0.1 * Applied Econometric Essay + 0.2 * January control paper
