Syllabus for Introduction to Econometrics

Office hours are tentatively scheduled as follows,

You are welcomed to stop by my office at any other time. But making an appointment by email or phone in advance is highly recommended.

Econometrics is a subject in Economics, consisting of "economic tricks" for quantitative analysis. It is an indispensable component in economists' toolbox. The roles of Econometrics include, but not limited to, quantitatively examining the association between economic variables, giving empirical support to economic theories, making forecasts about economic performance in the future, and evaluating policy impacts. At an introductory level, this course want to achieve the following goals: (1) letting students know basic econometric theories and methods, (2) enabling students to use software, primarily R, to estimate a simple econometric model, and (3) making students be aware of the notion of reproducible research as a standard workflow of empirical research.

Serving for these ends, the contents of this course will cover single and multiple linear regression model, the ordinary least squares estimation, hypothesis testing, model specification assessment, detection and solutions to problems in regression, such as, heteroskedasticity and multicollinearity, and panel data model. If time is permitted, we will also cover such topics as instrumental variable methods, and the Probit and Logit models. This course will not cover Time Series Econometrics except for a touch on the concept of serial correlation. This course will lay out a solid foundation for the future series of Econometric courses, such as Intermediate Econometrics, Time Series Econometrics, and Advanced Econometrics.

Principles of Microeconomics, Principles of Macroeconomics, Calculus, Introductory Probability and Statistics, and Linear Algebra.

Stock, J. and Wastson, M. (2010) Introduction to Econometrics, 3rd edition http://www.amazon.cn/gp/product/B00R7EEEUY/ref=ox_sc_act_title_2?ie=UTF8&psc=1&smid=A1AJ19PSB66TGU

• Jeffery Wooldridge (2012) Introductory Econometrics, 5th edition, China edition http://www.amazon.cn/dp/B00ITGHEYW/ref=pd_bxgy_14_img_2?ie=UTF8&refRID=1HC25MXFFYG5GNPRFDS1
• Kleiber and Zeileis (2008) Applied Econometrics with R

Lecture notes, along with other course materials, including slides, homework, and answers, will be uploaded to https://isem-cueb-ztian.github.io/Intro-Econometrics-2017/.

There is a companion website for this book, http://wps.aw.com/aw_stock_ie_3/, where you can download dataset for exercises, pratical quizzes, and STATA tutorial.

• Homework will be assigned every other week, aiming to help students understand fundamental concepts in econometric theories and grasp basic estimation and inference methods.
• Each homework will consist of two parts, theoretical questions and empirical exercises, which are all selected from the end-of-chapter exercises in the textbook of Stock and Watson.
• The due day of each homework will be on Mondays of the week after each homework is assigned. I strongly suggest you do your homework early before the due day.
• You can finish your homework by either handwriting or typesetting using word process software, e.g., Microsoft Word, LaTeX, and the like. Typesetting rather than handwriting is highly recommended.
• Homework will be graded as A, B, C, and D, based on the following rule
  • A: Homework is submitted by the due day. Numeric and mathematical answers are correct for all questions with only minor mistakes. Empirical exercises are finished with the desired format (the format is explained below). Explanations to your answers are convincing with correct use of econometric terminology. English writing is clear and grammatically right. (A = 100 percent points)
  • B: Homework is submitted by the due day. Numeric and mathematical answers are correct for most questions. Empirical exercises are finished with the desired format. Explanations are sound but may not be totally right. English writing is good with minor grammatical errors. (B = 85 percent points)
  • C: Homework is submitted by the due day. Empirical exercises are finished, without complying with the required format. Numeric and mathematical answers are correct for nearly half of questions. Explanations may not be right but with some merits. English writing is merely understandable with obvious grammatical errors. (C = 70 percent points)
  • D: Homework is submitted by the due day. Numeric and mathematical answers are correct only for a few questions. Explanations are wrong. English writing is very poor. (D = 60 percent points)
• Homework must be submitted on the due day. A grace period for late submission can be granted by request in advance. If granted, you must turn in your homework within one week after the due day. Late submission of homework is subject to reducing score to a lower level. No submission at all will result in no score on homework.

• The mid-term exam will cover most materials taught before and including Chapter 6: multiple regression estimation.
• It is tentatively scheduled on April 24th, Monday.
• It will be a closed-book test. But you are allowed to bring a one-sided "cheat sheet", on which you can write down some notes that help you remember some important definitions and formulae. You are allowed to write on only one side on the cheat sheet.
• If you miss the mid-term exam, a make-up test can be arranged. You must notify me of your absence in advance with a valid excuse.

• The final exam will be comprehensive, covering all being taught throughout the semester.
• The time and location are to be arranged and announced by the university.
• It will also be a closed-book test. You are still allowed to bring a "cheat sheet" written on both sides this time.
• The make-up test will follow the rule of the university.