Website Staf Akademik Universitas Gadjah Mada
 

Quantitative Methods

 

Course Description

The purpose of this course is to introduce students to the theory and application of econometric methods. It covers the basic tools of estimation and inference in the context of the single-equation linear regression model, and deals primarily with least squares methods of estimation. The course emphasizes the intuitive understanding and practical application of these basic tools of regression analysis, as distinct from their formal theoretical development.

The organization of the course is set out in the accompanying course outline. The first part of the course introduces least squares estimation and inference in the context of the simple (two variable) linear regression model. The second part extends the principles of least squares estimation and inference to the multiple linear regression model. The third part of the course considers some important uses of linear regression analysis, including linear coefficient restrictions and covariance analysis. Finally, the fourth part of the course deals with various problems that commonly arise in applying the linear regression model to cross-section data, including multicollinearity, specification errors and heteroskedasticity.

Course Goals

The course aims to prepare students for practical empirical research in an academic or business setting. It introduces the three basic concepts in econometrics: quantifying uncertainty with confidence intervals; using regression to infer causal relationships; and using regression to predict. The course covers exotic concepts with strange names: heteroskedasticity, autocorrelation, limited dependent variables, errors in variables, stationary and autocorrelated time series. It provides the standard tools necessary to perform and to read empirical research.

Recommended Readings

There are two recommended textbooks for the course:

  • Peter Kennedy, A Guide to Econometrics, 4th ed., Oxford: Blackwell Publishers, 2000.
  • Mudrajad Kuncoro, Metode Kuantitatif: Teori dan Aplikasi Untuk Bisnis dan Ekonomi, UPP AMP YKPN, Yogyakarta, 2001.

There are some additional introductory econometrics textbooks that are recommended for supplementary reading:

  • Damodar N. Gujarati, Basic Econometrics, 3rd Edition. New York: McGraw-Hill, 1995. (G)
  • Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach. South-Western College Publishing, 2000. (J)
  • Christopher Dougherty, Introduction to Econometrics. New York: Oxford University Press, 1992. (C)
  • R. Carter Hill, William E. Griffiths, and George G. Judge, Undergraduate Econometrics. New York: John Wiley & Sons, 1997. (CH)
  • Jan Kmenta, Elements of Econometrics, 2nd Edition. New York: Macmillan, 1986.
  • Ramu Ramanathan, Introductory Econometrics With Applications. New York: Harcourt Brace Jovanovich, 1989.

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