Econometrics

Econ 452

Michael Carr

Department of Economics

Contact Information:

Email: michael.carr@umb.eduOffice: W-5-31Mailbox: W-5-82Office Hours: TBDWebsite: www.faculty.umb.edu/michael.carr

I am generally very good at responding to emails. But, if you do not hear from me within 24 hours, I eitherforgot to respond or overlooked your email. Please, email me again after the 24 hours are up. You cannotcount on me responding to emails after 7:30pm, but I will respond first thing in the morning. Do not callmy office, you almost certainly will not find me.

Course Description This is a course in the techniques of estimating economic models. The uses andpitfalls of empirical estimation in economics will be examined. In addition to lectures, there will be aweekly one-hour computer lab, where students will apply these methods using econometric software.

Course Goals and Objectives The goal of this class is to provide a firm grounding in the basics of moderneconometric practice. The primary focus of the class is on an applied understanding of econometrictools, with a strong focus on when particular estimation techniques are applicable and when they arenot. Students will learn these skills by both answering typical textbook questions with generic datasetsand by a largely self-guided final project.

Readings There is one required text for this class, it is Wooldridge (2009). The book is available in thebookstore. A complete citation is available in the bibliography. Any additional readings will be madeavailable on the course website.

Grading The grading breakdown for the course is as follows:

Homework 30%Exam 1 20%Exam 2 20%Exam 3 10%Final Project 20%

Attendance I do not require that you attend class, and will not take attendance.

Homework There will be (roughly) weekly homework assignments over the course of the semester,organized by chapter. Late assignments will not be accepted, with no exceptions. Youmay email me the assignment if you wish, which means that assignments do not need to be turnedin in class. I am happy to answer any clarifying questions you may have, but I will not read yourhomework answers, tell you if they are right or not, and tell you how to fix them if they arewrong. You are encouraged to work on the homework assignments with your classmates. If youdo so, please state who you worked with on the homework. You must always turn in your own

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assignment, even if you work with someone else. And, the assignments should always be in yourown words. All questions come from the textbook. Each homework question has two numbers:the first number is the chapter, the second number is the question number. For example, 10.4 is aquestion from chapter 10, question number 4. Problems that start with a C require you to useStata. Note that the number starts over for the computer questions, so 10.4 and C10.4 are notthe same question. Most homework assignments are due Friday. I leave around 2pm on Fridays,so if you want to turn in a hardcopy it needs to be in my mailbox absolutely no later than 2pm.

No. Questions

1 Hypothesis testing2 2.4, 2.5, C2.1, C2.4, C2.6, 3.1, 3.4, 3.7, C3.2, C3.4, C3.83 4.1, 4.2, 4.4, 4.10, C4.1, C4.5, C4.94 6.3, 6.4, 6.7, C6.1, C6.4, C6.9, 7.1, 7.3, C7.2, C7.6, C7.95 8.1, 8.5, C8.46 10.1, 10.5, C10.3, C10.6, C10.117 12.1, 12.3, C12.10, C12.13, C12.148 13.3, 13.6, C13.3, C13.5, 14.5, C14.3, C14.5, C14.89 17.2, C17.2, C17.8

Exams There will be three exams over the course of the semester, roughly corresponding to the threesections of the course. The first two exams will cover two class periods, the first half will bewritten and the second half will be on the computers in the computer lab. The third exam willbe one class period.

Final Project You will write an original research paper at the end of the semester. Students areresponsible for coming up with a question, finding the data, and analyzing the data. I stronglyencourage you to work with someone else on this project, though I will not require you to do so.You may work with at most two other people, meaning groups shouldnt exceed three people.

Final Grade There is no predetermined grading scale for this course. Letter grades will be assignedbased on the distribution of grades at the end of the semester. The curve applied at the end ofthe semester will not decrease your letter grade based on a standard grading scale, but it couldincrease it. I will not be able to give a clear idea of what the curve looks like until the last thirdof the semester. You can be assured that your letter grade will be at least as high as: A >93%,A- 90%-93%, B+ 87%-89%, B 84%-86%, B- 80%-83%, C+ 77%-79%, C 74%-76%, C- 70%-73%,D+ 67%-69%, D 64%-66%, D- 60%-63%, F

Sec. Date Topic Readings Events

1 09/07/11 What is Econometrics IE 11 09/09/11 What is Econometrics IE 1

2 09/12/11 Probability and distribution IE B3-B52 09/14/11 Hypothesis Testing IE C5-C63 09/16/11 Bivariate Regression IE 2 HW #1

4 09/19/11 Multiple Regression IE 34 09/21/11 Multiple Regression IE 35 09/23/11 Interpreting Regression Output IE 4 HW #2

5 09/26/11 Interpreting Regression Output IE 45 09/28/11 Interpreting Regression Output IE 45 09/30/11 Functional Form IE 6 HW #3

6 10/03/11 Dummy Variables IE 77 10/05/11 Dummy Variables IE 77 10/07/11 Heteroskedasticity IE 8 HW #4

10/10/11 No Class No Class8 10/12/11 Heteroskedasticity IE 88 10/14/11 Catch-up and/or Review HW #5

10/17/11 Catch-up and/or Review10/19/11 Exam 1 Exam 1

9 10/21/11 Time-Series IE 10

9 10/24/11 Time-Series IE 109 10/26/11 Time Series IE 1210 10/28/11 Serial Correlation and Heteroskedasticity IE 12 HW #6

10 10/31/11 Serial Correlation and Heteroskedasticity IE 1211 11/02/11 Panel Data Methods IE 1311 11/04/11 Panel Data Methods IE 13 HW #7

12 11/07/11 Advanced Panel Data Methods IE 1412 11/09/11 Advanced Panel Data Methods IE 14

11/11/11 No Class No Class

11/14/11 Catch-up and/or Review HW #911/16/11 Exam 2 Exam 2

13 11/18/11 Limited Dependent Variables IE 17

13 11/21/11 Limited Dependent Variables IE 1711/23/11 No Class No Class11/25/11 No Class No Class

14 11/28/11 Limited Dependent Variables IE 1711/30/11 Limited Dependent Variables IE 1712/02/11 Exam 3 HW #10

12/05/11 Presentations12/07/11 Presentations12/09/11 Presentations

12/12/11 Presentations12/14/11 Presentations

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References

Wooldridge, Jeffrey M. 2009. Introductory Econometrics: A Modern Approach, 4e. Mason, OH: South-Western Cengage Learning.

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