Statistics and Econometrics

Course topics

Part 1. Descriptive Statistics

  • Introduction
  • Statistical concepts
  • Characteristics of univariate data sets
  • Characteristics of bivariate data sets

Part 2. Probability Theory

  • Probability of events
  • Random variables and distribution functions
  • Random vectors

Part 3. Inferential Statistics

  • Parameter estimation
  • Confidence intervals
  • Statistical tests

Part 4. Regression (part I)

  • Linear Regression
  • OLS
  • Testing the coefficients
  • Goodness-of-fit
  • Missing data
  • Multicollinearity
  • Heteroscedasticity
  • Autocorrelation
  • Outliers

Part 5. Regression (part II)

  • Model selection
  • Omission of relevant regressors
  • Inclusion of irrelevant regressors
  • Stepwise model selection
  • Generalized least squares
  • Nonlinear regression

Part 6. Nonparametric regression

  • Kernel density estimator
  • Univariate nonparametric regression
  • Lasso regression

Part 7. Regression trees

  • CART
  • CHAID

Part 8. Modeling binary, nominal and count data

  • Modeling binary data
  • Binary data with CART/CHAID
  • Modeling nominal data
  • Modeling count data

Part 9. Time series decomposition

  • Trend component
  • Seasonal component
  • Irregular component
  • Time series models
  • Parameter estimation for ARMA processes

Part 10. Forecasting

  • Goodness of forecasts
  • Naive forecasts
  • Exponential smoothing
  • Forecast combinations

Prerequisites