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Introduction to Econometrics (Summer 2010)
EBA Programme | Faculty of Economics | Chulalongkorn University | Bangkok, Thailand
Level: Sophomore year and higher | Type: Laboratory/seminar
Time: Tuesday/Thursday (9:00am - 12:00 noon)
Professors: Jurgen Brauer [Germany/U.S.]; J. Paul Dunne [U.K.]
Emails: jbrauer@aug.edu | john2.dunne@uwe.ac.uk
Course syllabus [here] |
EViews work files are on the software disk that comes with the "Using EViews" workbook. You may also find them at http://www.wiley.com/college/hill or http://principlesofeconometrics.com/.
1. POE Carter Hill, Griffiths, and Lim (2008). Principles of Econometrics. 3rd edition. New York: Wiley & Sons. ISBN: 978-0471-72360-8
2. UEV Griffiths, Carter Hill, and Lim (undated). Using EViews for Principles of Econometrics, Third Edition. New York: Wiley & Sons. ISBN: 978-0471-78711-2 [Note that this manual includes the EViews 6 student version of the econometrics program we use in this class. The software comes with a unique serial number, so that students can install the software on personal computers.]
Software
The EViews 6 student version can be installed on any 2, but only 2 (!), computers at a time. The Chula lab already has EViews 6 preinstalled for student use. Bring a flashdrive to the lab, so that you can store files on a personal storage device.
Overview
This course is an APPLIED introduction to econometric concepts and techniques. The professors will function as mentors and supervisors rather than as traditional classroom lecturers. We intend to provide brief conceptual summaries of the textbook material and plan to spend by far the majority of the lab time on hands-on use of the econometrics software, basically “looking over your shoulder” to see that things are going alright and that you properly interpret the numbers the software generates. The conceptual overviews may be given at the beginning, in the middle, or at the end of the lab period or, indeed, in a separate handout.
Your job is to actually DO things, and to do them cooperatively in the lab (although your assignments of course must be down on your own; plagiarism and cheating are not tolerated). Learning-by-doing is the general strategy to follow. On your part, this requires considerable self-motivation and perseverance. The day-to-day strategy is (1) to read the assigned POE chapter/s; (2) to read, follow, and do the corresponding step-by-step chapter exercise/s from UEV (mostly in the lab); and (3) to then do the assigned POE exercise/s on your own. For example, POE chapter 2 uses a food expenditure function to explain the concepts and interpretation of a simple linear regression. UEV chapter 2 then uses EViews 6 to show you, step by step, how to employ this econometric software to generate the food expenditure numbers that appear in the POE textbook. Finally, do the assigned end-of-chapter exercise/s on your own. To help you check your work, we assign problems for which answers are provided in POE Appendix D (pp. 548-571). The exams, however, involve exercises for which no answers are provided.
Journal
Note that in POE each chapter opens with a very good set of Learning Objectives. As you read the chapter and do the exercises, keep a journal—a daily account—in which you record, draft, amend, and CONSOLIDATE your response to each Learning Objective. Share your journal with other students! Give advice and take advice. The midterm and final review sessions are built around the Learning Objectives, and the midterm and final exam will contain questions taken from these Learning Objectives. The professors will NOT grade your journals. We will grade your exam.
Tentative class schedule [Note: class meeting dates may change due to holidays.]
Week 1 (Brauer)
Tuesday, 1 June 2010, 9:00-12:00
- Introduction to EViews; im/exporting data; introduction to econometrics; writing an empirical research report
- POE ch 1; ch 17 | UEV ch1; ch 17
Thursday, 3 June 2010, 9:00-12:00
- The simple linear regression model
- POE ch 2; UEV ch 2 [lecture slides here]
Assignment #1: pick one of 2.9, 2.12, 2.14 [here] (see details in the Assignments section below)
Week 2 (Brauer)
Tuesday, 8 June 2010, 9:00-12:00
- Assignment #1 due at 9am sharp (must be submitted in person, no exceptions!)
- Interval estimation and hypothesis testing
- POE ch 3 | UEV ch 3 [hypothesis testing handout here]
Thursday, 10 June 2010, 9:00-12:00
- Prediction, goodness-of-fit, and modeling issues
- POE ch 4 | UEV ch 4 [lecture slides here]
Assignment #2: pick one of 3.6, 3.9, 3.11
Assignment #3: pick one of 4.9, 4.11, 4.13
Week 3 (Brauer)
Tuesday, 15 June 2010, 9:00-12:00
- Assignments #2 and #3 due at 9am sharp
- The multiple linear regression model
- POE ch 5 | UEV ch 5 [pre-ch 05 handout here] [lecture slides here]
Thursday, 17 June 2010, 9:00-12:00
- Further inference in the multiple regression model
- POE ch 6 | UEV ch 6 [lecture slides here]
Assignment #4: pick one of 5.9, 5.11, 5.13
Assignment #5: pick one of 6.10, 6.12, 6.16, 6.18, 6.19
Week 4 (Brauer)
Tuesday, 22 June 2010, 9:00-12:00
- Assignments #4 and #5 due at 9am sharp
- Review session [midterm pretest here]
- POE chs 1-6 | UEV chs 1-6
Thursday, 24 June 2010, 9:00-12:00
- Midterm exam
Week 5 (Dunne)
Tuesday, 29 June 2010, 9:00-12:00
- Nonlinear relationships
- POE ch 7 | UEV ch 7 [lecture slides here]
Thursday, 1 July 2010, 8:30-12:30
- Problems with OLS [lecture slides here]
- Dynamic models and autocorrelation
- POE ch 9 | UEV ch 9 [lecture slides here]
Assignment #6: pick one of 7.9, 7.12, 7.15, 7.17
Assignment #7: Do 9.9
Week 6 (Dunne)
Tuesday, 6 July 2010, 8:30-12:30
- Nonstationary time series data and cointegration
[lecture slides here]
- POE ch 12 | UEV ch 12
[additional notes here and here]
Thursday, 8 July 2010, No class
Week 7 (Dunne)
Tuesday, 13 July 2010, 8:30-12:30
-Dynamic models and time series continued
Thursday, 15 July 2010, 9:00-12:00
- Heteroskedasticity
- POE ch 8 | UEV ch 8
[lecture slides here]
Assignment #8: pick one of pick one of 12.3, 12.5
Assignment #9: pick one of 8.10, 8.13, 8.14, 8.15<
[additional notes here]
Week 8 (Dunne)
Tuesday, 20 July 2010, 9:00-12:00
- Review session (covers the POE chapter Learning Objectives; student presentations; journal sharing)
- Review session [Indicative/mock final paper is
here]
Friday, 23 July 2010, 9:00-12:00
- Final exam
Assignments
Computer assignments (5 x 3% = 15%)
Each Tuesday, at 9am sharp, you must hand in your assignment. It is a one-page summary, plus an attached, hand-annotated printout of your EViews runs. You must hand in the assignment in person. A sample annotated assignment is available [here]. These assignments are graded as outstanding (3%), pass (2%), fail (either 1%, for some effort even if wrong or inadequate, or 0%, for assignments that are late). Even if not required, the more assignments you do, the better for your learning. Running extra exercises, running variations of exercises, trying out things, etc., will boost your confidence with learning the material and will almost certainly boost your exam grade.
Midterm and final exams
Note that each chapter starts with a set of Learning Objectives. As you read the chapter, be sure to fully answer all points. Some exam questions will be drawn from the learning objectives. The accuracy and level of detail of your answers will determine your exam grade. You must demonstrate knowledge, not memorized, rote answers.
The mid term (35%) will be a 3 hour long exam: 1 hour regarding learning objectives (12%), and 2 hours to run two textbook exercises with EViews, obtain the results, and report and interpret them (20%). Instead of a textbook exercise, we may also supply you with other data and instructions to run a model.
The final exam (50%) will be a 3 hour desk based exam, with a compulsory section on interpreting some output from Eviews and a section in which you will select questions on the topics you have covered
Grading and grades
90+% = A; 80-89% = B; 70-79% = C; 60-69% = D; <60% = F.