Professor Tatiana Komarova & Professor Taisuke Otsu

The problem, for those concerned with social or economic policy, is that we seldom have the luxury of being able to undertake controlled experiments of the type conducted by natural scientists. Instead, we have to draw our inferences from the analysis of non-experimental data. That is the function of econometrics.

The objective of this course is to provide the basic knowledge of econometrics that is essential equipment for any serious economist or social scientist. The course introduces statistical tools including regression analysis and its application using cross-sectional data.

The second week onwards will be focused on how various technical problems inherent in economic analysis, including heteroskedasticity, autocorrelation, and endogeneity should be handled. This section of the course will pay special attention to the application of the regression model to time-series data - both stationary and non-stationary.

Using the theories and their application in economics, you will participate in daily workshops to get hands-on experience implementing the various estimators and testing procedures in Stata using real-world data. As a result, you will consider how the theory can be applied to a wide range of questions of economic interest (For example, modelling long-term relationships between prices and exchange rates).

By the end of the course, you will be able to provide proof of the unbiasedness or biasedness and consistency or inconsistency of least squares, and instrumental variable estimators using simple models.