ECON 425: INTRODUCTION TO ECONOMETRICS

 

Fall 2006

MW 1:30 -2:45

Kuykendall Hall 307

Professor SH Lee

 

Course Outline

 

The goal of this course is to present and illustrate the basic techniques of empirical investigation in economics. The course emphasizes both the theoretical and practical aspects of statistical analysis and is organized around a particular empirical research topic. Computer applications are used to illustrate some of the statistical techniques covered. Emphasis will be placed on regression analysis that can be used to examine the relationship between two or more variables. Issues involved in estimation, including goodness-of-fit, statistical inference, heteroschedasticity, serial correlation, limited dependent variables, are discussed.

 

Prerequisites

 

ECON 321 or AREC 210 or MATH 241 or consent.

 

Texts

 

Gujarati, Damodar. 2006. Essentials of Econometrics, 3rd ed. McGraw-Hill/Irwin.


Grading

 

Homework problems, mid-term examinations, an econometric project, and a comprehensive final examination will be used to gauge students’ comprehension of the course material. The following weights will be applied in determining the final grade. Students who miss a test, homework or project deadline without making prior arrangements, will receive a zero for that assignment. Unless otherwise notified, there will be neither makeup exams nor makeup homework.

 

5 Homework assignments         20%

1 Econometric project              10%

2 Midterm exams                       40%

1 Final exam                              30%

Project. Students are encouraged to work together on the project. The students will work as a group to collect and organize data for the econometric project. However, each student will submit an individual project. More details are provided in the attached sheet.

Examinations. Midterm exams are scheduled at September 25 (Monday) and November 1 (Wednesday). The mid-term exam will be at our regular class time. Final exam is scheduled at 2:15-4:15, December 11 (Monday). All exams will be closed-note and closed-book. A cheat-sheet will be provided in each exam.

Unless told otherwise, students are responsible for understanding and reproducing all of the material covered in lecture. Mathematical derivations will appear in the homework assignments and tests. This means (1) that examinations will require substantial preparation and (2) that students should keep asking questions during class if they do not understand.

Help: Office Hours:  MW 10:40-11:50

          Office: Saunders 512

          Phone: 956-8590

          E-mail: Leesang@hawaii.edu

          www2.hawaii.edu/~leesang/

 

Proposed Topics

 

Introduction

 

            Econometric methods, data analysis, project (Ch. 1)

 

I. Basics of Probability and Statistics

 

            Random variables and probability theory (Ch. 2)

Covariance and correlation (Ch. 3)

Probability distributions (Ch. 4)

Statistical inference, properties of estimators, hypothesis testing (Ch. 5)

 

II. Linear Regression

 

The two-variable model regression (Ch. 6)

Hypothesis testing, variance and standard errors (Ch. 7)

 

III. Multiple Regression and Related Topics

 

Multiple regression (Ch. 8)

Functional forms of regression models (Ch. 9)

Dummy variable (Ch. 10)

 

IV. Regression Analysis in Practice

 

Model selection criteria (Ch. 11)

Multicollinearity (Ch. 12)

Heteroschedasticity (Ch. 13)

Autocorrelation (Ch. 14)

Lag models, logit and probit analysis (Ch. 16)