EC 570 Econometrics

Course Syllabus

Fall 2008, 4:40 - 6:30pm TTH (NH 366)
Prof. K.-P. Lin (CH 241-G, 725-3931)
Office Hours: 4:00-4:30 TTH & by appointment

This series of graduate level econometrics courses is designed to teach students with basic quantitative and computer skills for economic modeling, analysis and application. This course discusses basic econometric techniques and applications, while the next sequence EC 571 covers more advanced topics.

Prerequisites

EC 480 Mathematical Economics and EC 469 Introduction to Quantitative Economics provide the quantitative fundamentals for this courses. Basic knowledge of calculus, matrix algebra, statistical inference and probability theory are required (e.g., MTH 251, 252, 261; STAT 243, 244).

Texts

• Required:
  • W. H. Greene, Econometric Analysis, 6th ed., Prentice Hall, 2008.
• Recommended:
  1. F. Hayashi, Econometrics, Princeton University Press, 2000.
  2. J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, The MIP Press, 2002.
  3. K.-P. Lin, Computational Econometrics: GAUSS Programming for Econometricians and Financial Analysts, ETEXT Publishing, 2001.
  4. C. F. Braum, An Introduction to Modern Econometrics Using Stata, Stata Press, 2006.

Software and Manual

• GAUSS 9, Aptech Systems, 2008. A version of GAUSS Light may be used for the class.
• GPE2 for GAUSS, included in Computational Econometrics.
  Free download of GPE2 for GAUSS 8.0 and GAUSS 8.0 Light are available here for registered students only.
• Stata 10, StataCorp, 2008. A version of Small Stata may be used for the class. You can order it through Stata Course GradPlan here.

Course Topics

Course Expectation

For this course, there are two (2) tests: midterm and final. In addition, there are 4-5 homeworks (once every two weeks in average). Also there is a course project due at the end of term. The time schedule and grade distribution are as follows:

Midterm	November 6 (Week-6, Thursday), in class	(30%)
Final	Take Home, December 5-8 (Test, Data)	(30%)
Project	December 9 (Tuesday)	(20%)
Homework	Due every 2 weeks	(20%)

Homeworks

• Homework 1: Due Week-3, 10-16
• Homework 2: Due Week-5, 10-30
• Homework 3: Due Week-7, 11-13
• Homework 4: Due Week-9, 11-26

Guideline on Writing a Course Project

Format

1. 5-10 pages typed (double-space and wide margins).
2. The model presented has to be an original econometric model.
3. The format of the paper should follow a standard journal article closely.
4. Supporting data and computer program printout have to be included, but not counted for the page number.

Contents

1. Introduction and brief discussion of the main results.
2. Full explanation of estimation, hypothesis testings, and model specifications.
3. Detailed interpretation of the model and its policy implication, if any.
4. Extensions could be taken up in EC 571 next term.
5. References (including data sources).

Grade and Deadlines

• The project is evaluated based on its originality, creativity, and consistency with the format and content requirements described above.
• Project proposal (1 page typed): November 13 or earlier.
• Project due: December 9 (Tuesday).

Useful Econometrics Resources and Data Sources

• GAUSS Resources at American University
• Stata Textbook Examples
• Professor John Kane at SUNY-Oswego
• Economic Time Series Page
• Economic Report of the President
• Statistical Abstract of the United States