Linear models and multivariate regression analysis, tests for mis-specifications, 2SLS, Whites standard deviations, non-linear models, ML-estimation, GMM, AR-models, Logit and Probit models.
SF2951 Econometrics 7.5 credits
This course has been discontinued.
Last planned examination: Spring 2000
Decision to discontinue this course:
No information inserted
Course offerings are missing for current or upcoming semesters.
Headings with content from the Course syllabus SF2951 (Autumn 2007–) are denoted with an asterisk ( )
Content and learning outcomes
Course contents
Intended learning outcomes
To pass the course, the student should be able to do the following:
- formulate an adequate linear model on the basis of a given problem, such as testing a hypothesis
- judiciously judge the validity of the specification of a linear model
- estimate the parameters of a linear model, interpret the results, and use the model for prediction and hypothesis testing
- give examples of and use tests for heteroscedasticity and use Whites standard errors, bootstrap and GLS
- use tests for auto correlated residuals
- give examples of and use methods for estimating models other than the standard linear model: 2SLS (instrument variables), GMM (General Method of Moments), ML-estimation
- give examples of and use simple auto regressive models, Logit and Probit models and other non-linear models and estimation methods for those
To receive the highest grade, the student should in addition be able to do the following:
- Combine all the concepts and methods mentioned above in order to solve more complex problems.
Literature and preparations
Specific prerequisites
SF1941 (5B1541) Probability Theory and Linear Models, or SF2940 (5B1540) Probability Theory.
Recommended prerequisites
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Equipment
No information inserted
Literature
Will be determined later.
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
A, B, C, D, E, FX, F
Examination
- PRO1 - Project, 1.5 credits, grading scale: P, F
- TEN1 - Examination, 6.0 credits, grading scale: A, B, C, D, E, FX, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Other requirements for final grade
A written examination (TEN1; 6 university credits),
a project task (PRO1; 1,5 university credits.)
Opportunity to complete the requirements via supplementary examination
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Opportunity to raise an approved grade via renewed examination
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Examiner
No information inserted
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.
Further information
Course room in Canvas
Registered students find further information about the implementation of the course in the course room in Canvas. A link to the course room can be found under the tab Studies in the Personal menu at the start of the course.
Offered by
Main field of study
This course does not belong to any Main field of study.
Education cycle
Second cycle
Add-on studies
No information inserted