Econometrics

COURSE DESCRIPTION

This courseintroduces students to multiple regression methods for analyzing data in economics and related disciplines. Extensions include regression with panel data, discrete random variables, instrumental variables regression, analysis of random experiments and quasi-experiments, and regression with time series data. The objective of the course is for the student to learn how to conduct – and how to critique – empirical studies in economics and related fields. The course statistical software is STATA.

TEXTBOOK

Stock,James and Mark Watson,Introduction to Econometrics(secondedition), Prentice Hall, 2007.

ADDITIONAL READING

Wooldridge, J.,Introductory Econometrics(fourthedition), South-Western Cengage Learning, 2009.

CONTENTS

Week 1: Chapter 1 Economic Questions and Data; & Chapter 2 Review of Probability

Week 2: Chapter 3 Review of Statistics

Week 3: Chapter 4 Linear Regression with One Regressor

Week 4: Chapter 5 Regression with a Single Regressor: Hypothesis Tests & Confidence Intervals

Week 5: Chapter 6 Linear Regression with Multiple Regressors

Week 6: Chapter 7 Hypothesis Tests and Confidence Intervals in Multiple Regression

Week 7: Chapter 8 Nonlinear Regression Functions

Week 8: Chapter 9 Assessing Studies Based on Multiple Regression

Week 9: Chapter 10 Panel Data

Week 10: Chapter 11 Regression with a Binary Dependent Variable

Week 11: Chapter 12 Instrumental Variables Regression

Week 12: Chapter 13 Experiments and Quasi-experiments

Week 13: Chapter 14 Introduction to Time Series Regression and Forecasting

Week 14: Chapter 15 Estimation of Dynamic Causal Effects

Week 15: Chapter 16 Additional Topics in Time Series Regression

Week 16: Chapter 17 The Theory of Linear Regression with One Regressor

Week 17: Chapter 18 The Theory of Multiple Regression

ASSIGNMENTS

There will be weekly problem sets. Please hand in homework assignments before class on the day they are due. Assignments handed in afterwardswill receive no credit.Students may work with others in the class on their problem sets, but each student must write up his or her answers separately.

GRADING Problem sets 30%, final exam 70%(closed book).