Course Outline for Econometrics (01:220:322:02)

Department of Economics
Rutgers University
Fall Semester, 2017

Course Information

Title: Econometrics
Code: 01:220:322:02
Lecture Times: MTh 11:30am–12:50pm
Location: Murray Hall Room 212 - College Avenue Campus
Course site: http://sakai.rutgers.edu
Final Exam: There is no final exam.

Contact Information

Instructor: Prof John Landon-Lane

Campus Address: 419 New Jersey Hall, CAC
Email: [email protected]
Office Hours: TW 11am-12noon
Telephone: +1-848-932-8657

Course Objective and Learning Goals

Econometrics is a set of research tools used to estimate and test economic relationships.
The methods taught in this introductory course can also be employed in the business
disciplines of accounting, finance, marketing and management and in many social science
disciplines. The aim of this course is to provide you with the skills helpful in filling
the gap between being “a student of economics” and being “a practicing economist.” By
taking this introduction to econometrics you will gain an overview of what econometrics
is about, and develop some “intuition” about how things work. The emphasis of this
course will be on understanding the tools of econometrics and applying them in practice.
Students who successfully complete Econ 322 should be comfortable with basic
statistics and probability. They should be able to use a statistical/econometric computer
package to estimate an econometric model and be able to report the results of their
work in a non-technical and literate manner. In particular a student who successfully
completes Econ 322 will be able to estimate and interpret linear regression models and be

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able to distinguish between economic and statistical importance. They should be able to
critique reported regression results in applied academic papers and interpret the results
for someone who is not trained as an economist.

Prerequisites

It is expected that all students will have taken principles of economics courses covering
both microeconomics and macroeconomics (e.g. 220:102 and 220:103 or 220:200), Calcu-
lus I (640:135 or 640:151) and an introductory statistics class (e.g. 960:211 or 960:285).
It will be assumed that all students have a good command of the material taught in these
courses. It is strongly suggested that you review this material at the beginning of this
course.

Important Information

Students majoring in Economics need to pass this course with a C or higher.

Text and Software

The text for this course is:

James H. Stock and Mark W. Watson, Introduction to Econometrics 3rd Edition,
updated, Pearson.
The class will also be using MyEconLab and the bundle of the text book and the
access to MyEconLab can be purchased online or from the bookstore. You have a number
of options:

• MyEconLab access card (all digital) (ISBN 0133487679 or 9780133487671)

• MyEconLab + Looseleaf Package (ISBN 0133848914 or 9780133848915)

• MyEconLab + Bound Text Package (ISBN 0133595420 or 9780133595420)

• if you already have a copy of the text you can purchase a access code from the
bookstore or from Pearson directly.

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 The software that will be used in this course is EVIEWS. No prior knowledge of
this software package is assumed. This package will be introduced in lectures and in the
problem sets as the course proceeds. The software is available in all university computer
labs. Students can also purchase a full student version of this software from the following
website:

http://www.ihsmarketplace.com/collections/student-version

There is also a free student “lite” version available at the website as well.

Lecture Outline

The following is a list of lecture topics. I have indicated the relevant Chapters of the
text for each topic. This should be used as a rough guide for your reading. The lecture
material will be greatly enhanced for you if you are up to date with your readings.

1. Introduction (Chapter 1)

• Brief introduction to course

• Why study econometrics?
• What is an econometric model?
• Sources of data.

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
• Review of Statistics

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 • Hypothesis tests
• p-values

Exam 1: September 28, 2017

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 General Linear Regression Model (Chapters 6, 7, and 18)

• The econometric model with more than one independent variable

• The least squares principle
• Estimating the GLRM and interpreting the results
• Inference and prediction in the GLRM
• Single and joint hypothesis tests of the parameters of the econometric model
• Model specification issues
• Collinear variables

Exam 2: October 19, 2017

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

Exam 3: November 2, 2017

7. Additional Topics in Regression Analysis

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

Exam 4: November 27, 2017

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

• Stationary time series

• Trends
• Spurious regression
• Tests for stationarity

Exam 5: December 11, 2017

NOTE: I reserve the right to add or subtract topics as the course develops. Not all topics
will be covered in the same detail. Time constraints may cause some topics to be omitted.
Unless otherwise notified, students are responsible for all the topics noted in the lecture
outline.

Course Assessment

Course assessment will take many forms. There will be graded assignments (via MyE-
conLab), empirical projects, and exams.
Final grades will be based on your performance in all forms of assessment according
to the following distribution:

Assessment Weight
MyEconLab assignments and empirical projects 20%
Exam 1 10%
Exam 2 15%
Exam 3 15%
Exam 4 15%
Exam 5 10%
Final Project 15%

Computer assignments sets will consist of applied econometric work using a com-
puter program. I encourage students to work together on the empirical assignments.
However, all students must write up their answers independently of each other. Students

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caught submitting identical, or nearly identical, assignments will receive a zero grade for
that assignment. Late assignments will receive a score of zero. There will be plenty of
time allocated for the assignments so that there is no excuse for a late assignment.
All exams are cumulative. If you do not attend an exam, you will receive a zero
grade for that exam. Students who cannot attend an exam can, under certain circum-
stances, make alternative arrangements if they provide me with documentary evidence
regarding the reason they missed the exam. I do not give extra-credit assignments.
There will not be a final exam in this course! However there will be a final
project that will be assigned at the end of the course and will be due during the period
your final exam was scheduled. This final project must be completed on your own with
no help from fellow classmates.
Finally, I regard academic dishonesty as a very serious offence. Any student caught
cheating will receive an F for this course and will be reported to the appropriate university
authority. There will be no warnings. The following are some of the actions which I regard
as academic misconduct:

1. Taking unauthorized materials into an examination.

2. Submitting work for assessment knowing it to be the work of another person.

3. Improperly obtaining prior knowledge of an examination paper and using that

knowledge in the examination.

4. Failing to acknowledge the source of material in an assignment.

Grading Policy

The following table indicates what scores are necessary for each particular grade:

Grade Range of Scores

A > 85
B+ 75 − 85
B 68 − 75
C+ 60 − 67
C 55 − 60
D 50 − 55
F < 50

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Important Dates

Date Event
Thursday, September 28, 2017 Exam 1 (regular class time, full class)
Thursday, October 19, 2017 Exam 2 (regular class time, full class)
Thursday, November 2, 2017 Exam 3 (regular class time, full class)
Monday, November 27, 2017 Exam 4 (regular class time, full class)
Monday, December 11, 2017 Exam 5 (regular class time, 30 mins)
Monday, December 21, 2017 Final Project Due 3pm.
Tuesday, September 12, 2017 Last day to drop class without receiving a W.
Monday, October 30, 2017 Last day to drop class with a W grade.
Tuesday, November 23, 2017 Change in designation of days. Thursday classes meet today.

Final Comments

1. It is expected that all students will attend lectures, be up to date with their readings
and be prepared to participate fully in class. Please ask questions in class or in
office hours if you have any problems or misunderstandings. Do not wait until just
before an exam to ask questions.

2. Students are expected to attend all classes. If you expect to miss one or two
classes because of illness or a family emergency, please use the University absence
reporting website https://sims.rutgers.edu/ssra/ to indicate the date and reason
for your absence. An email is automatically sent to me.

3. The best way to learn is by doing. I recommend attempting as many exercises at

the end of each chapter of the text as you can.

4. I will post incomplete lecture notes on the course site prior to each lecture. These
lecture notes are merely outlines and do not constitute the whole of the lectured
material for this course. Students should attend lectures to add in the details that
are missing from the lecture outlines.

5. No electronic devices (e.g. laptops, iPads, or cell phones) are allowed to be used
in class. Please be respectful or your fellow classmates and instructor and turn all
devices off during class.