ECON4160 – Econometrics - Modeling and Systems Estimation
Course description
Course content
This is a basic course in advanced econometrics. Econometrics deals with evaluating economic theories and models, and investigating their validity by confronting them with data, using statistical methods. An important part of econometrics is concerned with developing methods for analyzing relationships in multi-equation models, with due regard to (a) the non-experimental, multi-causal nature of most economic variables, and (b) measurement errors.
Topics:
multiple regression analysis with stochastic regressors-matrix formulation
specification of simultaneous equation systems
the identification problem
estimation methods for single equations in multi-equation models, and for models with measurement errors
econometric specification and estimation of dynamic systems and models
econometric modelling for policy analysis and forecasting
examples related to behavioural models for households and firms
exercises in formulating and estimating simple econometric models, by using econometric software
Learning outcome
Knowledge:
You should know
- multiple regression analysis with stochastic regressors, with the specification and interpretation of simultaneous equation systems, and with identification problems which may arise when trying to make inference on economic relationships containing more than one endogenous variable from non-experimental data
- selected estimation methods for linear single equations in multi-equation models, for models with measurement errors, for simple dynamic models (both single-equation and VAR systems). Examples related to household and firm behaviour and simple relationships considered in macroeconomic theory will also be discussed
- basic econometric terminology and estimation and test principle
Skills:
You should be able to
- formulate and estimate simple econometric models by econometric software
- formulate simple single- and multi-equation econometric models from economic theories and interpret such models
- recognise why empirical analysis of economic relationships requires specific methods and why econometricians often need a far larger tool-box than classical regression analysis. Further, the course will enable you - using actual observations and suitable software
- estimate parameters in simple econometric models, both single- and multi-equation models and to test simple hypotheses using actual observations and suitable software
- have critical attitudes to data and measurement problems in economics as well to the scope of economic theories
- evaluate critically empirical work performed by others
Competence:
You should
- be able to read and understand project reports and journal articles that make use of the concepts and methods that are introduced in the course
- be able to make use of the course content in your own academic work, for example in analyses that are part of the master’s thesis
Admission to the course
Students admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.
Students not admitted to the Master’s programme in Economics or the Master’s programme in Economic Theory and Econometrics (Samfunns?konomisk analyse), can apply for admission to one of our study programmes, or apply for guest student status.
Formal prerequisite knowledge
ECON3150 – Introductory Econometrics / ECON4150 – Introductory Econometrics or equivalent.
You must also fulfill one of these prerequisites:
- Bachelor`s degree in Economics, or equivalent.
- ECON3120 – Mathematics 2: Calculus and Linear Algebra / ECON4120 – Mathematics 2: Calculus and Linear Algebra, or equivalent.
- ECON3220 – Microeconomics 3 / ECON4220 – Microeconomics 3, or equivalent.
Overlapping courses
- 10 credits overlap with S?K456.
- 10 credits overlap with SO?456.
- 10 credits overlap with SO?455.
- 10 credits overlap with ECON456.
Teaching
Lectures, seminars and instruction in/exercises with PCs.
Compulsory tuition activities:
- Course portfolio
If the course portfolio is not approved, you may be given a second attempt to hand in a new term paper/improve the term paper within a short deadline.
When the course portfolio is approved, the result will be registered. The?approved compulsory term paper is valid for 9 semesters, starting with the semester in which it is passed.
See The Faculty of Social Sciences` rules regarding compulsory tuition activities.
Absence from compulsory tuition activities
If you are ill or have another valid reason for being absent from compulsory tuition activities, the compulsory activity may be postponed.
Access to teaching
A student who has completed compulsory instruction and coursework and has had these approved, is not entitled to repeat that instruction and coursework. A student who has been admitted to a course, but who has not completed compulsory instruction and coursework or had these approved, is entitled to repeat that instruction and coursework, depending on available capacity.
Course responsible can at the beginning of the semester update the syllabus list by changing no more than three articles, though in a way that it will not change the overall scope or thematic content of the course.
The syllabus also includes any lecture notes that will be made available for the students in Canvas.
Examination
The assessment for this course is based on a 5-hour home exam in Inspera.
Compulsory activity must be approved in order to sit for the exam.
Exam papers with comments from examiner
Examination support material
Resources allowed: All exam support materials are allowed during this exam. Generating all or part of the exam answer using AI tools such as Chat GPT or similar is not allowed.
Language of examination
The examination text is given in English. You may submit your response in Norwegian, Swedish, Danish or English.
Grading scale
Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Resit an examination
If you are sick or have another valid reason for not attending the regular exam, we offer a postponed exam later in the same semester.
See also our information about resitting an exam.
Students who wish to retake the exam in a later semester are not guaranteed that the course will be given with the same content and syllabus, or that the examination scheme will be the same.
More about examinations at UiO
- Use of sources and citations
- How to use AI as a student
- Special exam arrangements due to individual needs
- Withdrawal from an exam
- Illness at exams / postponed exams
- Explanation of grades and appeals
- Resitting an exam
- Cheating/attempted cheating
You will find further guides and resources at the web page on examinations at UiO.