Econometrics

Instructors

SHIMOTSU Katsumi

Term / Language / Credits

S1S2 / English / 4

Objectives

This is a course in introductory econometrics. The objective of this course is to acquaint the student with the basic knowledge in econometric theory and applications, so that the student can understand econometric methods and use them properly in his/her own research. For those students who want to take advanced courses in econometrics, this course will provide a background for these courses. The topics include ordinary least squares, generalized least squares, instrumental variable estimation, panel data analysis, and asymptotic theory.

In the Practice Session for Econometrics, we will use Stata, a statistical package popular among economists, to practice various methods studied in class.

Keywords

Econometrics, Multiple Regression Analysis, Ordinary Least Squares, Instrumental Variable Estimation, Panel Data

Schedule

1. The Nature of Econometrics and Economic Data
2. The Simple Regression Model
3. Multiple Regression Analysis: Estimation
4. Multiple Regression Analysis: Inference
5. Multiple Regression Analysis: OLS Asymptotics
6. Multiple Regression Analysis: Further Issues
7. Multiple Regression Analysis with Qualitative Information: Binary (or Dummy) Variables
8. Heteroskedasticity
9. More on Specification and Data Problems.
10. Pooling Cross Sections across Time: Simple Panel Data Methods
11. Advanced Panel Data Methods
12. Instrumental Variables Estimation and Two Stage Least Squares
13. Simultaneous Equations Models
14. Limited Dependent Variable Models and Sample Selection Corrections

Teaching Methods

Class room teaching along with the Practice Session for Econometrics

Grading

Mini-exam 20%; midterm exam 30%; final exam 50%.

Required Textbook

Wooldridge, J. (2013). Introductory Econometrics, 5th edition, Cengage Learning.

Reference Books

Greene, W. H. (2011). Econometric Analysis, 7th edition. Prentice Hall. Wooldridge, J. (2002). Econometric Analysis of Cross Section and Panel Data, MIT Press.

Notes on Taking the Course

Practice sessions for this course using Stata are conducted in the Practice Session for Econometrics.

Related Websites

To be announced.

Related Resources

Course Catalog 2015-2016