Department of Economics Economics 355
OhioWesleyanUniversityEconometrics
Delaware, OhioRobert J. Gitter
Spring, 2008
SYLLABUS
Description - This course deals with the statistical estimation of economic relationships. The primary means of estimation will be linear regression. The first third of the course will quickly review basic statistics as well as simple and multiple regression and binary variables. The middle section will be primarily devoted to the effects of violating the classical assumptions and the applied topics such as interaction effects, logit and probit, nonlinear regression, and simultaneous systems of equations. The final part of the course will deal with advanced topics including instrumental variables, random and fixed effects, Granger causality and others.
Prerequisites - This course is not a course in economic statistics, but rather a course in statistical estimation with particular relevance to economics. The prerequisites for this course are Economics 110 (Principles of Economics) and Economics 251 (Research Methods).
Although many of the examples will draw on economics, regression analysis is quite useful in other disciplines as well. Students of psychology, sociology, and some of the life sciences will find the statistical techniques learned in this course extremely useful.
Course Goals - The goal of this course is to give the student the necessary statistical tools to estimate quantitative relationships at a more advanced level. Through other courses in economics (or other disciplines) the student has developed an understanding as to which factors will influence a variable of interest. This course will enable the student to estimate these relationships using sophisticated techniques. For example, models relating to wage rates, interest rates, GDP, consumer demand, market share and the like may be estimated.
Course Structure - This course will have three lectures a week. You are encouraged to attend lectures, as they will be devoted to explaining the more difficult sections of the text and extending the scope of the course into relevant applications. I do not lecture out of the book and expect students to learn from both the text and lectures. I will draw on my own research experiences in illustrating points. Only minimal time will be devoted to the homework problems during the lectures.
Homework problems will be assigned at most classes. You are strongly urged to do these assignments carefully, for mastering the concepts while doing the homework will help you at test time and more importantly in your future economic courses and professional lives. If you do not wish to take a course with 2 homework assignments per week, a major term project and other assignments, it is suggested you enroll in a different course.
Lectures, homework assignments and the text are not enough to teach econometrics. To learn how to estimate relationships you must practice estimating them. Therefore, this course has a required term project. A series of deadlines has been set up to enable the theoretical part of your paper to be completed before actual estimating begins.
DateRequirement
Wednesday, March 5A 1-2 page project proposal consisting of:
1)An economic (or other) model consisting of one or more dependent variable and a relevant set of independent variables.
2) Theoretical justification of the model.
3)A list of sources of data.
Monday March 31The introduction, theory and data section of the paper to be turned (Grad Seniors) in. No results are to be turned in, but rather a statement of why the Friday April 4 issue studied is important, the predicted effects of your
(All Others) independent variables, the data to be used and a description of your data and why you chose that form of the data. This will be graded and returned promptly. A copy of your data in SPSS form on a diskette is also due at this time.
Wednesday, April 16A revised draft of what was turned in on March 31/April 4 along with the (Grad Seniors) results, discussion and conclusion.
Friday April 18
(All Others)
The draft turned in on April 16/18 may be rewritten and a weighted average (one-third first draft, two-thirds second draft) of the two papers will be used to determine the final grade. Final deadline for rewrite: at last class for graduating seniors and Thursday, May 8 at 4:30 P.M. for all others.
The text for the course is Basic Econometrics, 4th edition, by Damodar Gujarati. (Please note that there is a book with a similar title by the same author, Essentials of Econometrics. The Essentials of Econometrics is a totally different book and will not work.) Some additional readings will be assigned.
Office Hours: Room 217, R.W. Corns Building
Monday, Wednesday and Friday 10:30-11:30 and 2:10-3:00
Tuesday and Thursday 3:00-3:30And by appointment.
Office Phone: 368-3536
E-Mail Address: rjgitter (a great way to reach me!)
Homepage: (Note: I will be putting homework, course announcements, a periodically updated reading list, grades and other relevant material on the homepage. Please check regularly.)
Computer Policy – I have chosen to hold this class in a computer lab so that you have the opportunity to apply that day’s lecture to a data set. Unfortunately, on occasion some students will use the computers while I am lecturing. Computer use during lecture is distracting to both your fellow students and me. Students who use the computer while I am lecturing will be asked to leave!
Common Courtesies – Sometimes common courtesy isn’t very common. I do, however, have a modicum of control over my classroom. Students who arrive late, have cell phones ring or surf the net while I am lecturing are disruptive to others and especially me. Anyone engaging in these activities will be levied a one dollar fine which I will donate to the departmental secretary’s candy fund. As economists like to say, people respond to incentives.
Examinations and Determination of Grades - There will be four exams in this course. Many of the concepts learned at the beginning will be used throughout the course, and the student will be held responsible for these concepts.
ExamTopics % of Final Grade
First MidtermReview of simple and multiple regression 10 %
Tentative date: FridayFebruary 15
Second MidtermViolations of the classical assumptions 12.5 %
and applied topics. Friday March 21
Third MidtermTopics To Be Determined. Friday April 1 12.5 %
FinalAdvanced topics 15 %
Monday May 5 at 1:30
Homework 15 %
Term Project 25 %
Reviews of other Student’s Work 5 %
Article Summary – Due Wednesday February 27 5 %
Grading Scale: Since the first exam is primarily review, a different scale will be used on that exam. The grading scale on the right below shows the scale for course as a whole.
Course
Exam I Other MaterialGrading Scale
A - 94 and above A – 86 and above A 88 and above
B - 83-93B - 77-85A- 87-88
C - 75-83C - 69-76B+ 85-87
D - 71-75D - 64-68B 79-85
F - 70 or below F - 63 or below B- 78-79
C+ 76-78
C 71-76
C- 70-71
D+ 69-70
D 66-69
D- 65-66
F 65 or below
R Option - This course is offered as an R (Writing) Option course. There will be two writing assignments in the course; an article summary and the term project. Students who receive an "R" on BOTH of these assignments will receive an "R" for the course. Papers may be rewritten if the "R" is not awarded. The letter grade awarded on the article summary will be the final letter grade. The weighted average grade of the first and second submissions of the paper will be used for the term project. Students wishing to pursue the R Option should meet with me as they work on each of the writing assignments. Students need not pursue this option and their letter grade will not be affected if they don't. For those students attempting to earn an R I highly recommend Economical Writing by Deirdre N. McCloskey (second edition.) It is an inexpensive book with a very high marginal utility for any student considering an R
I am trying some new things this semester. The dates that we cover material after spring break may change, but in order to aid you in your planning, the dates for the exams and all due dates for the Article Summary and Term Project are fixed and will not change even if the order that we cover topics does. I make the reading assignments on a weekly basis. See the course homepage for updates.
Econ 355 Spring 2008
Reading List
WeekDateTopic Assignment
1Jan. 14-16Review, Introduction to Regression Gujarati Intro
(No Class Friday Jan. 18) and Chap 1
2Jan. 21-25Basics of Regression Chap 2-4
3 Jan. 28-Feb 1Extensions and Intro to Mult. Regression Chap 5-7
4 Feb. 4-8Multiple Regression Chap 7-8
5 Feb 11-15Hypothesis Testing; F-Test Chap 8
Exam I Friday Feb. 15
6 Feb 20-22Dummy Variables, Intro to MulticollinearityChap. 9, Chap. 10
7 Feb 25- Feb 29Multicollinearity, Intro to Heteroscedasticity Chap. 10- 11
Article Summary Due Feb. 27
8 Mar 3-7Heteroscedasticity and Intro to Auto-Chap 12
Correlation
Term Project Proposal Due March 5
Spring Break March 10-14
Second Half of Course
Topics to be Determined
All Due Dates are Fixed and Will NOT Change Based on Topics Covered
Exam II Friday March 21
First Half of Term ProjectMonday March 31 (Grad Sr.), Friday April 4 (All others)
Exam IIIFriday April 11
Second Half of Term ProjectWednesday April 16 (Grad Sr.), Friday April 18 (All others)
Rewrites of Term ProjectWed. April 30 (Grad Sr.), Thur. May 8, 4:30 PM (All others)
Final ExamFinal Exam Period Monday May 5, 1:30 PM