Econometrics - Time Series

class: center, middle, inverse, title-slide

.title[
# Econometrics - Time Series
]
.subtitle[
## Course Introduction
]
.author[
### Jonas Björnerstedt
]
.date[
### 2023-11-31
]

---

## Introduction

- Rules of the game
    - Course will use and follow the textbook
        - Lectures and slides to help you
        - Exam questions will be similar to book
    - R examples during lectures
    - Individual submission of computer exercise required
        - Work on Computer Exercise together, but write your own!
        - Do book exercises together
- Point of the course?
    - Econometric theory
        - knowledge of central concepts
    - Applied course
        - Write scripts
    - Different backgrounds
        - Repetition good even if you know the stuff

---
## Course requirements

- Examination
  - Final exam 80%
- Empirical Assignment - 20%. Posted in week 46

---
## Textbook

- Stock and Watson, Introduction to Econometrics, 4th or updated 3rd edition

![](introduction-to-econometrics-global-edition.jpg)

- New textbook very similar
  - Page numbers etc. will refer to the 4th edition

---
## Readings

- Stock & Watson - Parts 1, 2 and 4
- [Introduction to Econometrics with R](https://www.econometrics-with-r.org/) 
    - Stock & Watson using R

- Additional reading for empirical exercises
  - A detailed reading list has been posted on the course web

#### Not in course

- Chapter 8 - Nonlinear regression functions
- Chapter 9 - Assessing studies based on multiple regression
- Part 3 - Further topics in regression analysis 
- Part 5 - The econometric theory of regression analysis

---
## Resources

- Course web: https://rstudio.sh.se
  - Most resources are __not__ posted on the studiewebb
  - Not practical with many resources

- Do not ask course questions on Itslearning
  - I check once a week or so...

---
## Other resources

- The internet!
    - Google for questions asked on www.stackexchange.com and similar sites
    - Wikipedia is very good in probability and statistics
    - [Khan academy](https://www.khanacademy.org/math/statistics-probability)
        - From basic to advanced with [an app with videos and exercises](https://itunes.apple.com/us/app/khan-academy-you-can-learn/id469863705?mt=8)
- If you find something, share it!
  - [An example](https://mgimond.github.io/ES218/index.html)

---
## Course outline

- Univariate regression
    -  Ch. 4. Linear Regression with One Regressor 
    -  Ch. 5. Hypothesis Tests and Confidence Intervals   
- Multivariate regression
    -  Ch. 6. Linear Regression with Multiple Regressors  
    -  Ch. 7. Hypothesis Tests and Confidence Intervals 
    -  Section 8.1 Test scores and district income
- Time series
    -  Ch. 15 (14). Introduction to Time Series Regression and Forecasting 
    -  Ch. 16 (15). Estimation of Dynamic Causal Effects   
    -  Ch. 17 (16). Additional Topics in Time Series Regression 
- Theoretical time series analysis

#### Prerequisites

- Probability and statistics
    -  Ch. 2. Review of Probability
    -  Ch. 3. Review of Statistics
    
Lecture notes available on site.

---
## Installing Rstudio

Both _R_ and _RStudio_ have to be downloaded and installed

* Download R
    * [R for Windows](https://cran.r-project.org/bin/windows/base/)
    * [R för Mac](https://cran.r-project.org/bin/macosx/)
* [Get Rstudio](https://www.rstudio.com/products/rstudio/download/)