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Carleton University
Department of Economics
ECON 5005 G
Econometrics I
Instructor: Ba Chu
Fall 2008
Office:
Loeb B-857
Telephone: 520-2600 ext. 1546
E-mail:
[email protected]
Classes:
Fridays 11:35:00 AM - 2:25:00 PM at 280 UC
Office Hours: Fridays 2:30 pm - 5:00 pm, or by appointment (please email me early in
advance)
Nature of the Course:
This course covers econometric methods associated mainly with univariate and
multivariate regressions. Introductory concepts related to simple and multiple regressions
are assumed known. Relevant fundamentals of econometric theory underlying
Generalized Least Squares (GLS) and Instrumental Variables (IV) inference are
introduced, with focus on empirical applications. The course will specifically consider:
 The classical regression model
 Testing linear and non-linear constraints
 Basic Regression diagnostics
 Non-spherical regression errors (autocorrelation, heteroskedasticity (including
ARCH))
 Seemingly Unrelated regressions and multivariate regressions with Panel data;
Lagged Endogenous variables, unit roots and cointegration (a very preliminary
introduction, detailed treatment is provided in ECON-5713)
 Endogenous regressors and simultaneous equation systems.
The inference methods covered include: Ordinary Least Squares; Generalized Least
Squares; Indirect Least Squares; Maximum Likelihood; Instrumental Variables, including
Two-Stage-Least-Squares.
The course exposition is formal and technical, yet the main focus is on applicability.
The course includes two assignments using well known data sets and econometric
problems of recent interest in economics.
Plagiarism:
Please be aware that plagiarism is a serious offense and one that should be recognized
and avoided. For further information regarding this subject, please see the Economics
website or pick up a handout from the Department.
Requests for Academic Accommodations:
ECON4713A/5703W
For Religious
Obligations
For Pregnancy
2
Winter 2007
To be worked out on individual basis with instructor. Consult
Equity Services Website or an Equity Advisor (ext. 5622) for
Policy and list of Holy Days (www.carleton.ca/equity)
Contact Equity Services (ext. 5622) to obtain letters of
accommodations
For Students with Disabilities:
Students with disabilities needing academic accommodations are required to contact a
coordinator at the Paul Menton Centre to complete the necessary letters of
accommodation. The student must then make an appointment to discuss their needs with
the instructor at least two weeks prior to the mid-term examination. He/she must also
check with the PMC for accommodations for formally scheduled final examinations.
Texts and References:
[G00] Greene, W. H. (2000). Econometric Analysis, 4th Edn, Prentice Hall. (A latest
edition --6th Edn -- is available.) (The 15th lecture will be based on this textbook.)
[JD97] Johnston, J. and DiNardo, J. (1997). Econometric Methods, 4th Edn, McGraw Hill.
(This is the main textbook.)
[G06] Gujarati, D. N. (2006). Essentials of Econometrics, 3rd Edn, McGraw Hill. (This
textbook is good for preliminary concepts and ‘nice’ empirical applications)
Notes:
1. GRADE:
o Exam I (25%), 3 hours, October 17. If a student misses the midterm exam for any
reason, the weight (%) of the midterm will be automatically added to the final exam.
There will be no deferred midterm exam offered. If the mark in the final is higher
than the mid-term, I will ignore the midterm.
o Exam II (40%), 3 hours, around mid December (will be scheduled by the exam
office). Failure to write the final examination will result in a grade of ABS. In order to
write a deferred final exam students must contact the Registrar's Office.
o Assignment I (10%, individual work), due on the 4th week. Failure to hand in
Assignment I on time (5 p.m. on the Friday of that week) will result in a grade of zero
(out of 10%).
o Assignment II (10%, individual work), due on the 8th week. Failure to hand in
Assignment II on time (5 p.m. on the Friday of that week) will result in a grade of
zero (out of 10%).
o Assignment III (15%, group work, 2-3 students per group), due on 13th week. Failure
to hand in Assignment II on time (5 p.m. on the Friday of that week) will result in a
grade of zero (out of 15%).
ECON4713A/5703W
3
Winter 2007
2. For your assignments, you may use the EViews or TSP program on the computer
network or the RATS and CATS programs on a PC in the Economics Resource Room
(C865 LA). The EViews and TSP manuals are in C865 LA and the RATS and CATS
manuals from Mrs. Renee Lortie in C874 LA.
You may also use SHAZAM econometrics computer package (Ver. 10 Prof. Edition).
Personal copies of SHAZAM are available from HP 1251 (Tunnel level). The current
cost is $10. Please refer to the manual for the installation instruction.
Computers and printer in C865 LA are available for course work and can be accessed
08:30-16:30 Monday to Friday.
Note that I will distribute the assignments two weeks before the due dates.
Course Structure:
Readings in applied work will be assigned as the course progresses.
1) Week 1: Matrix algebra and basic statistical inference. (Ch. 2 of G00 and
Appendix A & B of JD97)
2) Week 2: Classical regression model (Ch. 3 of JD97)
3) Week 3: Statistical inference and basic large-sample theory (Ch. 5 of JD97)
4) Week 4: Some tests of linear regression model for specification error (Ch. 4
of JD97)
5) Week 5: Heteroscedasticity and autocorrelation (Ch. 6 of JD97 and Ch. 13
G00)
6) Week 6: Review Session.
7) Week 7: Mid-term exam.
8) Week 8: Heteroscedasticity and autocorrelation (contd.) (Ch. 6 of JD97 and
Ch. 13 G00)
9) Week 9: Generalized methods of moments (Ch. 10 of JD97)
10) Week 10: Panel data (Ch. 12 of JD97)
11) Week 11: Linear systems of simultaneous equations (Ch. 9 of JD97 and Ch.
15 of G00)
12) Week 12: Linear systems of simultaneous equations (contd.)
13) Week 13: Final review.