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KEIO Opencourseware >> Course List >> Faculty of Economics >>APPLIED ECONOMETRICS(PCP), Spring 2007


Colin McKenzie, Ph.D.

[Course Guide]

Course Status:

This course has been established as part of the Faculty of Economics’ PCP Program, and will be taught in English.

Aim and Content of Course

This course aims to: (a) provide students with an introductory knowledge of applied econometrics; and (b) enable students to estimate and evaluate linear regression models using the econometrics software package called EViews 5. In the econometric analysis of any socio-economic phenomena, the creation of some sort of “model” is the usual starting point of any analysis. Econometric model building involves the following seven steps: (i) the specification of a theoretical model, (ii) data collection; (iii) the specification of a model for estimation; (iv) the estimation of unknown parameters; (v) hypothesis testing; (vi) model evaluation; and (vii) simulation and forecasting. 

This course focuses on estimation using ordinary least squares (step (iv)) and hypothesis testing using the t and F tests (step (v)). Where possible, estimation and hypothesis testing techniques will be illustrated by empirical examples that use either cross-section or time series data. The emphasis in this course is not in proving propositions, but rather on the strong connection between the assumptions made about the components of the regression model and the results that can be obtained, and the various difficulties that arise when analyzing real data.

Classes: 13
One 90-minute class per week

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