Econometrics I

Code: PECO6021
Course: Doctorate in Economics
Credits: 4
Hourly load: 60
Syllabus: Classical linear regression model: least squares method; inference; errors in the independent variables, autocorrelation of the residuals, multicollinearity, heteroscedasticity and model specification errors. Generalized linear regression model. Panel data models. Qualitative dependent variable models. Generalized method of moments.
Bibliography:

BALTAGI, B.H. Econometrics, 3. ed. Springer-Verlag, 2002.CAMERON, A. C.; TRIVEDI, P. K. Microeconometrics methods and applications. New York: Cambridge University Press, 2005.

DAVIDSON, R; MACKINNON, J. G. Econometric Theory and Methods. Oxford University Press, 2003.

GREENE, W. H. Econometric analysis. 7 ed. New York: Pearson Prentice Hall, 2017. (livro base)

GRIFFITHS, W. E.; HILL, R. C.; JUDGE, G. G. Learning and practicing econometrics. New York: John Wiley & Sons Inc. 1993.

GUJARATI, D. N.; PORTER, D. C. Basic econometrics. 5 ed. New York: McGraw-Hill/Irwin, 2008.

HAYASHI, F. Econometrics. New Jersey: Princeton University Press, 2000.

HEISS, F. Using R for introductory econometrics. Createspace Independent Publishing Platform, 2016.

HORTON, N. J.; KLEINMAN, K. Using R for data management, statistical analysis, and graphics. 2 ed. New York: Chapman and Hall/CRC, 2011.

JOHNSTON, J.; DINARDO, J. Econometric methods. 4 ed. New York: McGraw-Hill, 1997.

KLEIBER, C.; ZEILEIS, A. Applied econometrics with R. New York: Springer, 2008.

MONTGOMERY, D. C.; PECK, E, A.; VINING, G. G. Introduction to linear regression analysis. 4 ed. New Jersey: Wiley Interscience, 2006.

SPANOS, A. Statistical foundations of econometric modelling. Cambridge: Cambridge University Press, 1986.

WOOLDRIDGE, J. M. Econometric analysis of cross section and panel data. Cambridge, Mass: MIT Press, 2002.