Econometrics Refresher

It has been a bit quieter on my blog over the exam period and the Christmas break, but now university is back on again and I cannot wait to start my second semester! As we have our consolidation and development week this week, it seems like the perfect time to prepare for my classes and as the semester is going to be my last one before graduation, I can pick from a list of electives.

So, besides Behavioural Economics and Industrial Economics, I get the chance to do Applied Econometrics. The course builds upon the Econometrics component from my third-year classes in Micro- and Macroeconomics and introduces:

  1. Models with limited dependent variables
  2. Panel data sets
  3. Topics involving time series data (volatility and cointegration).

One of the class prerequisites is a change in notation to the matrix form of econometrics. This is a very useful step as many econometric problems have a multivariate character and for this, the matrix form is much more convenient. While I have studied matrices in my advanced mathematics course as well as through MITOpenCourseware, I have yet to relate it to econometrics and this is what I am up to this week! Ben Lambert has a great graduate course in econometrics on his YouTube channel which covers topics from the undergraduate course in matrix formulation:

It is an indispensable source for developing your understanding and getting a feel for this representation. In particular, the course starts with an introduction to the matrix formulation of econometrics, followed by an example of it. It then continues with the differentiation with respect to a vector as well as the derivation of OLS estimators in matrix form. So, if you want or need to refresh your econometrics skills or develop them to the next level, this is for you.

Many thanks for reading!



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