Subject: Econometrics (Classes)
Teacher: mgr Anna Król
Bachelor Studies in Finance 2011/2012
Office hours: Wednesday 11:30  12:30, building Z, room 313
email: [e-mail]
www: www.ekonometria.ue.wroc.pl
Schedule
No. Content Textbooks Date  Date 
group 1 group 2
1. Organizational Class: Discussion on [B]: App. 1, 1; [M]: 1, 2; [Gr]: App. A, 7.02 8.02
Schedule, Textbooks, Grading. Repetition: B, C; [JD]: App. A, B; [D]: 1.
Statistics and Matrix Algebra. Introduction
to Econometrics.
2. Correlation. Test for the Significance of [B]: 2; [M]: 3; [Gr]: 1; [JD]: 1 (2); [D]: 14.02 15.02
Correlation Coefficient. Simple Regression 2.
Model. Ordinary Least Squares (OLS)
Estimation.
3. Multiple Regression Model. Assumptions [B]: 3, 4; [M]: 4; [Gr]: 2, 3, (4, 5); [JD]: 21.02 22.02
Underlying Classical Linear Regression 3; [D]: 3, 4.
Model. Properties of the OLS Estimators.
4. Goodness of Fit. Hypothesis Testing: t- [B]: 2, 3; [M]: 3, 4; [Gr]: 6; [JD]: 1, 3; 28.02 29.02
test, F-test. Normality of the Disturbance [D]: 3, 4.
Term.
5. Heteroskedasticity. [B]: 4; [M]: 5; [Gr]: 11; [JD]: 6; [D]: 8. 6.03 7.03
6. Autocorrelation (Serial Correlation). [B]: 4; [M]: 6; [Gr]: 12; [JD]: 6; [D]: 13.03 14.03
13.
7. Specification Analysis and Model [B]: 4; [M]: 7, 12; [Gr]: 8; [JD]: 4; [D]: 20.03 21.03
Selection. Multicollinearity (Collinearity). 4, 7.
8. Transformation of Variables. Nonlinear [M]: 3 (10); [Gr]: 7 (9); [JD]: 2; [D]: 5. 27.03 28.03
Regression Models.
9. Revision. 3.04 4.04
10. Final Examination. 24.04 25.04
Textbooks:
[B] Brooks Ch.: Introductory Econometrics for Finance, Cambridge University Press 2002.
[M] Maddala G.S.: Introduction to Econometrics, John Wiley & Sons 2001.
[Gr] Greene W.H.: Econometric Analysis, Prentice Hall 1999.
[JD] Johnston J., Dinardo J.: Econometrics Methods, McGraw-Hill/Irwin 1996.
[D] Dougherty Ch.: Introduction to Econometrics, Oxford University Press 2002.
Supplementary textbooks:
[DM] Davidson R., MacKinnon J.G.: Econometric Theory and Methods, Oxford University Press 2004.