Econometrics (II)
Instructors
Credits / Language / Semester
2Credits / English / Summer
Objectives/Overview
This course introduces you to econometrics.
We study the leading econometric model, the linear regression model and its variations often used to examine economic issues. Variations studied are (1) Heteroskedasticity (2) Serial Correlation (3) Endogeneity (4) Limited Dependent Variables (5) Sample Selection (6) Panel Data. For each of the variations, we study appropriate methods to estimate the parameters of the linear regression model.
Five estimation methods covered in the course are the ordinary least squares method and weighted least squares, as well as the generalized least squares, the instrumental variable method and its weighted version, and the maximum likelihood method. For each of the methods, we examine
1. underlying assumptions each method is based for having desirable properties,
2. how the properties of the estimation method are established, and
3. how these models and estimation methods are used in practice.
We will use Stata, a statistical package popular among economists, to practice various methods studied in class.
The practice sessions for this lecture are an integral part of this course so all students taking this course should register.
As you will learn, these methods have many limitations. However, these are the bread and butter methods many researchers use currently around the world to examine empirical issues not just in economics but also
in any science. If you can improve any of these methods in a significant way that will be an important contribution to our knowledge.
The goal of the course is to equip you with the basic tools of econometric analysis so that you can begin to explore economic data with good understanding of the limitations of the tools at hand.
Keywords
Econometrics, Regression Model, Regression Analysis, Linear Regression Model, Ordinary Least Squares, Instrumental Variable Method, Maximum Likelihood Method, Method of Moment, Program Evaluation, Social Experiment, Natural Experiment, Randomization
Teaching Methods
Class room teaching along with the Practice Session for Econometrics (II)
Grading
Grade is based on five 20 minutes exams (out of 6) (25%) and an exam (75%).
Twenty minutes exams are meant to examine if you have done your home work on your own so that they will not be so different from the problem set problems.
Required Text
effrey M. Wooldridge (2008) "Introductory Econometrics" 4th edition, South-Western Cengage Learning, USA.
Reference Books
Lecture Notes
Notes on Taking the Course
Please register to the Practice Session for Econometrics (II) as well. It is an integral part of this course.
This course is a joint course offered by the Economics Undergraduate Program and the Graduate School of Public Policy and will be given in English.