Applied Econometrics for Public Policy
Credits / Language / Semester
4Credits / English / Winter
This course is designed to provide an introduction of econometric methods for public policy analysis in the graduate level. It covers fundamental probability theories, the estimation and inference of OLS estimators, hypothesis testing, dummy variables, multiple regression analysis, and issues about the model specification. Since this is a master level course, we will focus not only on theoretical parts of econometrics but also on the implementation of econometric methods. Thus, students will be asked to do some empirical exercises using computers. In this course, students are required to use STATA for the empirical exercises.
Probability, Regression Analysis, Hypothesis Testing, Model Specification
(1) Probability Primer. (2) Simple Regression Models. (3) Interval Estimation and Hypothesis Testing. (4) Model Specification Issues (5) Multiple Regression Models. (6) Indicator variables (7) Heteroskedasticity (8) Introduction of Time Series Data (9) Moment-based Estimation (10) Simultaneous Equations Model (11) Non-Stationary Time Series Data (12) VAR and VECM Models
The course will follow the traditional lecturing form. Students are required to take their own class notes. Since the course is mathematical oriented, writing down the derivations of each equation in class will help student better understand the materials.
There will be a midterm and a final exam. The final exam is comprehensive. Your grades will be the weighting average of problem sets and the two exams, and the distribution of the weights is listed below:
Problem set: 10%
Midterm Exam: 45%
Final Exam: 45%
Hill, Griffiths, and Lim, Principles of Econometrics, 4th Edition, John Wiley & Sons, 2011 (International Students Version) (ISBN-13: 978-0470873724)
Wooldridge, Introductory Econometrics: A Modern Approach, 4th Edition, South Western College Publishing, 2009 (ISBN-13: 978-1111531041)
Angrist and Pischke, Mostly Harmless Econometrics: An Empiricist’s Companion, Princeton University Press, 2008 (ISBN-13: 978-0691120355)
Kennedy, A Guide to Econometrics, 6th Edition, Wiley-Blackwell, 2008 (ISBN-13: 978-1405182577)
Notes on Taking the Course
This course will provide a compact review of necessary Statistics concepts. The focus of this course is the basic principles of Econometrics rather than tedious proofs of existing theories. Thus, knowledge of college Calculus will be sufficient for understanding the class materials.