Course
Number: Econ 4203-01, 6230-01 |
Tulane
University |

Econometrics

**Spring 2011**** **

**Notice
- Department of
Economics Web Site**:
The Department of Economics maintains a comprehensive web site at
http://econ.tulane.edu/
. This should be your first
stop
for all your economics inquiries. On the web site you will find
information about the major, the faculty, and internet resources in
economics. Other important links are Econlit
(you are able to download most papers through TU Link from Econlit)
and Economics
Research
Resource Guide. The
web
site for
this class can be accessed at
http://www.tulane.edu/~msyun/ .

**Course
Objectives**

**Economic Literacy: Students who complete this course should understand and be able to articulate, both orally and in writing, the core economic principles, concepts and theories that form the foundation of modern economic analysis and economic research for various gender issues.**

- Economic Numeracy: Students who complete this course should be familiar with the tools, techniques and methods of empirical economics for gender issues. They should be able to analyze data using computer applications and should be familiar with regression methods and other statistical techniques. They should be able to read and assess general interest articles on gender issues. In addition, they should be able to understand and evaluate key findings in published economic research from a wide range of sources including academic economists, public policy ‘think tanks,’ and government agencies.

- Economic Citizenship: Upon completion of this course students should be able to apply their understanding of core concepts and quantitative tools to analyze and research real world problems and evaluate alternative economic policy proposals on gender issues.

- This class provides both theoretical and practical tools for applying economic theory and models to real economic data. We use statistical tools to answer "how much" type questions; by doing so, we are able to confirm or refute whether the economic theory or model actually operates in real world. By the end of this class you should have a solid understanding of many (not all!) important concepts and theories in econometrics. Also, you should have a command of the statistical tools and be able to do independent research using economic data.

**Prerequisite:** Economics 323 or Math 307.
These prerequisites
are taken seriously and you are expected to have a command
over this
material. A firm knowledge of algebra and basic calculus such
as
differentiation greatly improves the odds for successful completion of
this course.

**Office Hours:** MW 2-3PM or by
appointment. Room:
Tilton Hall 310, 862-8356. My email address is msyun@tulane.edu .

**Readings:** The following should be
available
at the bookstore:

James H. Stock and Mark W. Watson, Introduction to Econometrics 3rd Edition, Addison-Wesley 2011

You may choose any textbook since undergraduate textbooks are very similar, e.g., R. Carter Hill, William E. Griffiths and Guay C. Lim, Principles of Econometrics (3rd Edition), John Wiley & Sons, Inc., 2008. The text above is one of the best on the market. I will follow the text closely. However, I may lecture on some things that are not in the text. The text should be viewed as a complement to the lectures, not a substitute. You are responsible for the material in the texts and in the lectures. I make every effort to have class attendance a necessary (though not sufficient) factor in performing well on examinations. Note that I have deliberately kept the amount of reading down. This is because I expect you to read and thoroughly understand all the material in the text.

**Online Study Resources**: Online study
tools are available
at
http://www.aw-bc.com/stock_watson/
. This webpage is still for the 2nd edition. I expect that
this webpage will be updated for the 3rd edition.
You should make use of this site.

**Statistical Program**: You may use any
statistical packag to do
the homeworks and a research
paper (MA students only). You may go to the computer labs in
the campus. The computer lab has PC version SAS and
SPSS. You
can also use statistical programs in UNIX server
(rs6000.tcs.tulane.edu). Economics
Department also maintains a computer lab which has
SAS and STATA. A good introduction to statistical packages
can be found from WWW (e.g., http://www.ats.ucla.edu/stat/).

**Homework**: Due to the nature of the course,
homework
assignments are necessary to enhance your understanding of the material
covered in class. Several assignments will be handed
out.
The assignments will ask you to (1) work through some statistical
theory and /or (2) estimate economic models given a data set with your
choice of statistical tools.

**Paper (MA students ONLY)**: One major goal of
this course is to
provide you with skills and knowledge of both the theory and the
practical tools necessary to start your own research. The
best
way to achieve this goal is to write an original research
paper.
The paper is
due on the last lecture
day, **April 20, 2011**.
On April 20, 2011, (MA) students will present his/her
paper.
Each presentation will take about ten minutes. The
presentation
will talk about reasons why you chose the topic, economic model,
econometrics specification, data and empirical finding. To
avoid
last minute chaos, a proposal (two pages long) is required by **
March 23, 2011**. The proposal should include why
the
topic is
interesting, how you will obtain data, and how you estimate equations
of interest. The term paper should not be taken
lightly.
The starting point is finding what interesting topic is; you may have
glance over titles of articles in top notch journals (e.g., American
Economic Review) or search Econlit.

**Lecture Topics:** The following is a list of
chapters which
will be
covered in this class. I reserve the right to add or subtract topics as
the course develops. On some I will go into great detail,
others I
will but mention in passing.

- Brief introduction to course
- Why study econometrics?
- What is an econometric model?
- Sources of data.
- Mark Killingsworth, A Simple Introduction to Econometrics
- Nisbet and Vakil, "Some Estimates of Price and Expenditure Elasticities of Demand for Marijuana Among U.C.L.A. Students," Review of Economics and Statistics, 1972, 473-75

2. Review of Statistical Concepts (Chapter 2 and Chapter 3)

- Random Variables
- Controlled vs. uncontrolled experimental data
- Discrete vs. continuous random variables
- Review of probability concepts
- Expected value
- Sample moments of a random variable
- The joint density function
- Marginal density, conditional density and independence
- Covariance and correlation
- The Normal density
- Yun, "Earnings Inequality in USA, 1969-1999: Comparing Inequality Using Earnings Equations," Review of Income and Wealth, 2006, 127-144

3. The Simple Linear Regression Model (Chapters 4, 5, and 17)

- The econometric model
- The least squares principle
- Estimating the econometric model and interpreting the results
- The properties of the least squares estimates of an econometric model
- Inference and prediction in the Simple Linear Regression Model
- Interval estimation and hypothesis testing
- Evaluating the Simple Linear Regression Model

4. The Multiple Linear Regression Model (Chapters 6, 7, and 18)

- The econometric model with more than one independent variable
- The least squares principle
- Estimating the multiple regression and interpreting the results
- Inference and prediction in the multiple regression
- Single and joint hypothesis tests of the parameters of the econometric model
- Model specification issues
- Collinear variables

5. Non-linear effects in Regression models (Chapter 8)

- Binary variables
- Interactions between binary variables
- Functional form

6. Assessing Regression Models (Chapter 9)

- Threats to validity of model

– internal threats

– external threats

7. Additional Topics in Regression Analysis

- Estimating regression models with panel data (Chapter 10)
- Regression Models with Binary Dependent Variable (Chapter 11)
- Instrumental Variable estimation (Chapter 12)

8. Topics in Time Series Econometrics (Chapters 14-16)

- Stationary time series
- Spurious regression
- Tests for stationarity
- Cointegration

Examinations:

Midterm Exam 1 | Wednesday, February 23, 2011, in class | Topic 1, 2, 3 and 4 |
25% |

Midterm Exam 2 |
Monday, April 4, 2011, in class |
Topic 1, 2, 3, 4, 5 and 6 |
25% |

Final Exam | Sunday, May 1, 2011 (1-4PM) | Topic 1, 2, 3, 4, 5, 6, and 7 (Topic 8 if time allows) | 45% |

Research Paper (MA Students ONLY) | Proposal Due Date: Wednesday, March 23, 2011 | Presentation and Submission Date: Wednesday, April 20, 2011 | 25% |

Homework | 5% |

**Note:** I reserve the right to
alter this schedule during
the semester. All exams are cumulative. Of course, new material covered
since the last exam (in **bold** letter) will be
emphasized, but
you are responsible for all the material.

**Makeup Policy:** Students who
simply do not show up for
exams should not expect to be given a makeup. You should
present
a valid documentation in order to avoid receiving zero point on the
missing exam.

There are no extra-credit assignments. There is no way to *ex
post*
improve your grade on an examination. Plan to do well on the required
material.

**Some Warnings, Advice and Hints:**

1. If you are having problems, **please **seek
out help early.
Come in prepared, having gone over the lectures, text, and problems in
the text. If you have missed any classes, make sure you have gotten the
missed notes from classmates. In cases like this, it usually pays to
get the notes from at least two of your class mates.

2. Some students slack off. Econometrics is very demanding a course
even though I keep the coverage to minimal. The only way
to learn it is to keep going over it, work the problems in your text,
and **
THINK**
about what you are doing at each step. I suggest that you first read
through the entire book. This will help you to begin to think about
econometrics.
Go over the lectures and think about what problems I raise and what
problems
are raised in the book. Furthermore, let me urge you to read as much
of the material as possible early on in the course. You will find this
will help you develop a perspective on the course material and lead to
a better understanding of econometrics. Also it is essential
to
have a command of the statistical package(s) to complete this course
successfully. Be familiar with the program(s) as soon as
possible. Knowledge on statistical package(s) will not only
help
your homeworks
and the research paper during this semester but also your future job
search or higher education in graduate or professional schools.

3. Do not wait until after I have lectured on something to read the
material work on it yourself. Come to class ** prepared**!

4. The emphasis in this class is on developing your ability to apply
analytical techniques and on your understanding of fundamental
concepts. Exams will emphasize this. They will assume you
have a
complete understanding of the lectures, text and study guide, and will
ask you to apply what you have learned to "new" circumstances.

5. The course material builds on earlier work. It is essential that you
master every part of the material. I will integrate the material as we
go along, but you will be ahead of the game if you make extended
efforts to learn and integrate it yourself.