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The present lecture notes introduce some preliminary and simple notions of Econometrics for undergraduate students. They can be viewed as a helpful contribution for very short courses in Econometrics, where the basic topics are presented, endowed with some theoretical insights and some worked examples. To lighten the treatment, the basic notions of linear algebra and statistical inference and the mathematical optimization methods will be omitted. The basic (first year) courses of Mathematics and Statistics contain the necessary preliminary notions to be known. Furthermore, the overall level is not advanced: for any student (either undergraduate or graduate) or scholar willing to proceed with the study of these intriguing subjects, my clear advice is to read and study a more complete textbook.
There are several accurate and exhaustive textbooks, at different difficulty levels, among which I will cite especially [4], [3] and the most exhaustive one, Econometric Analysis by William H. Greene [1]. For a more macroeconomic approach, see Wooldridge [5, 6].
For all those who approach this discipline, it would be interesting to ’define it’ somehow. In his world famous textbook [1], Greene quotes the first issue of Econometrica (\(1933\)), where Ragnar Frisch made an attempt to characterize Econometrics. In his own words, the Econometric Society should ’ promote studies that aim at a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems’. Moreover: ’Experience has shown that each of these three viewpoints, that of Statistics, Economic Theory, and Mathematics, is a necessary, but not a sufficient, condition for a real understanding of the quantitative relations in modern economic life. It is the unification of all three that is powerful. And it is this unification that constitutes Econometrics.’.
Although this opinion is \(85\) years old, it is perfectly shareable. Econometrics relies upon mathematical techniques, statistical methods and financial and economic expertise and knowledge. I hope that these lecture notes will be useful to clarify the nature of this discipline and to ease comprehension and solutions of some basic problems.
