Course description

The course introduces the student to the statistical and econometrical analysis of data. It combines a theoretical approach with empirical applications from Economics and Finance. During the course, the student also works on real data applications using statistical software. The first part of the course covers some basic elements of Probability Theory and Statistics which are the foundations of the subsequent parts of the course. The second part introduces the linear regression analysis, emphasizing the assumptions and statistical properties of the OLS model. This part also covers Hypothesis testing and post-estimation diagnosis is also covered in this part. The third part of the course focuses on the use of regression analysis for answering empirical questions. It addresses the endogeneity problems created by omitted variables, measurement error and reverse causation. Then, it introduces some basic tools for identification of causal effects including Randomized Control Trials, Instrumental Variables, Differences-in-Differences and Regression Discontinuity Designs. The last part of the course introduces time series analysis.

Lecturer and Examiner:
Diego Battiston

Group Teacher:

Teaching Assistant (TA)

Group 1Nicklas Nordfors                

Group 2Nicklas Nordfors

Course administrator:
Veronika Wallinder

Course information

  • Swedish syllabus
  • English syllabus
  • Schedule NB! Changes may occur!
  • Course web: Athena
  • Literature:

    - Angrist, J. D., and Pischke, J.-S., Mastering 'metrics: The path from cause to effect. Latest edition

    - Stock J. and Watson M., Introduction to Econometrics. Addison Wesley Longman. Latest edition


    Additional references that can be consulted for some topics:

    - Cunningham, S., Causal Inference: The Mixtape. 2018.  Free available at author’s website http://scunning.com/cunningham_mixtape.pdf

    - Brooks, C., Introductory Econometrics for Finance, (3rd edition). Cambridge University Press. 2014

  • The course will also cover some articles from academic journals.

  •  Lecture notes

NOTE! Compulsory registration in due time for written exams. You sign up for the written exam through https://www.student.ladok.se.