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ECONOMICS 598:
ECONOMETRIC THEORY AND APPLICATIONS
COURSE OUTLINE1 Section: A1 Term: FALL 2016
Class Time: Tuesday and Thursday from 12.30PM to 1.50PM Class Room: Tory 1‐125
Instructor: Vera Brenčič Course Website: eClass
Office: Tory 7‐26
Office Hours: Tuesday from 2.30PM to 3.30PM Thursday from 2.30PM to 3.30PM E‐mail:2 [email protected]
Course Description: Advanced treatment of estimation, inference and econometric problems and techniques, including the use of matrix operations and statistical distribution theory, with an emphasis on applied
econometric analysis.
Course Goals: The goal is to introduce students to applied econometrics, including basic techniques in linear regression analysis, with sufficient theoretical background.
Course Prerequisites: ECON 481 and 482 or equivalent, and an advanced undergraduate level course in econometrics. Note: Not open to students with credit in ECON 506.). Important: The Department may cancel your registration if you do not have the required courses as prerequisites. Students who do not meet the requirements should contact the instructor as soon as possible.
Required Text: Green, W.H. (2008): Econometric Analysis, Sixth Edition, Pearson Prentice‐Hall. ISBN: 0‐13‐
213245‐2. Please note that while this textbook is expensive, it is typically also used in ECON 599. Any edition of the textbook is acceptable.
Additional Course Material: Some of you may find it useful to consult Ryan, D.L.: Econometrics Refresher Manual (Review of Matrix Operations in Econometrics). Please check eClass regularly for all the updates regarding the course. Students are responsible to keep track with the latest announcements and changes. In‐
class assignments and notes are representative of what one can expect on exams (GFC 23.4).3
Access to Statistical Software: As part of the course you will learn how to use statistical software STATA. You will be expected to use the software to complete homework assignments. There are three ways you can obtain access STATA: a) you can access STATA in the lab on the 9th floor in Tory; b) you can purchase the software from AICT (visit http://productsales.ualberta.ca/), or c) access the software though virtual lab online (https://storefront.aictlabs.ualberta.ca/Citrix/StoreWeb/). Please consider online sources to get started with STATA (for example: http://data.princeton.edu/stata/).
1 Policy about course outlines can be found in 23.4(2) of the University Calendar.
2 When sending an e‐mail, indicate in the subject line of the e‐mail “ECON 598.” I will respond to emails sent by 5PM on the same day.
E‐mails received after 5PM, will be addressed the following day.
3 Recording of lectures is permitted only with the prior written consent of the professor or if recording is part of an approved accommodation plan.
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Course Performance Evaluation: Final course grades are determined according to the University calendar
§23.4(2): Grades reflect judgments of student achievement made by instructors. These judgments are based on a combination of absolute achievement and relative performance in a class. After the mid‐term exam tentative grade cut‐off points will be posted on eClass.
Type of evaluation Date(s) Weight
Homework assignments (4 assignments) announced in class 30%
Midterm Exam (80 minutes) October 18, 2016 (in class) 30%
Final Exam (120 minutes) at 2PM on December 13 40%
Homework Assignments will test your understanding of material covered in class as well as how well you can apply your knowledge of STATA. Late assignments will not be accepted unless appropriate documentation is provided (see last page). Assignments will be announced in class and will be posted on eClass. All assignments will be due in one week since the announcement.
Midterm exam will take place in‐class on October 18, 2016 (Tuesday). The exam will cover topics discussed up until the week of the midterm. Please refer to the last page of the course outline for policies regarding the absence from the examination and appropriate documentation of your absence. Deferred exam is scheduled to take place three weeks after the regularly scheduled midterm.
Final exam will take place on December 13 (Tuesday) at 2PM. This will be a two‐hour exam. While the exam is COMPREHENSIVE, the emphasis will be on the material covered in the second half of the semester. Details about the location of the exam will be announced once they become available. The deferred exam is
scheduled to take place during the last week in January 2017.
Recording of lectures ‐ Audio or video recording of lectures, labs, seminars or any other teaching environment by students is allowed only with the prior written consent of the content author(s) or as a part of an approved accommodation plan. Recorded material is to be used solely for personal study, and is not to be used or distributed for any other purpose without prior written consent from the instructor.
Student accessibility services ‐ If you have special needs that could affect your performance in this class, please let me know during the first week of the term so that appropriate arrangements can be made. If you are not already registered with Student Accessibility Services, contact their office immediately ( 1‐80 SUB;
Email [email protected]; Email; phone 780‐492‐3381).
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TOPICS AND READING OUTLINE (Greene, 2008)4
PART 1: The linear regression model Chapter 1: Introduction
Chapter 2: The Classical Multiple Linear Regression Model Chapter 3: Least Squares
Chapter 4: Statistical Properties of the Least Squares Estimator Chapter 5: Inference and Prediction
Chapter 6: Functional Form and Structural Change Chapter 7: Specification Analysis and Model Selection
PART 2: The generalized regression model
Chapter 8: The Generalized Regression Model and Heteroskedasticity Chapter 19: Serial Correlation
Chapter 10: Systems of Regression Equations
PART 3: Estimation methodology
Chapter 14: Estimation Frameworks in Econometrics Chapter 16: Maximum Likelihood Estimation
Chapter 15: Minimum Distance Estimation and the Generalized Methods of Moments
PART 4: Introduction to time‐series econometrics (time‐permitting!) A brief review of Chapters 20, 21, and 22.
4 Some topics may get omitted or added depending on how the course progresses.
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Academic Integrity
“The University of Alberta is committed to the highest standards of academic integrity and honesty. Students are expected to be familiar with these standards regarding academic honesty and to uphold the policies of the University in this respect. Students are particularly urged to familiarize themselves with the provisions of the Code of Student Behavior (at
http://www.governance.ualberta.ca/en/CodesofConductandResidenceCommunityStandards/CodeofStudentBehaviour.aspx) and avoid any behavior that could potentially result in suspicions of cheating, plagiarism, misrepresentation of facts and/or participation in an offence. Academic dishonesty is a serious offence and can result in suspension or expulsion from the University.”
Learning and working environment
The Faculty of Arts is committed to ensuring that all students, faculty and staff are able to work and study in an environment that is safe and free from discrimination and harassment. It does not tolerate behavior that undermines that environment.
The department urges anyone who feels that this policy is being violated to:
× Discuss the matter with the person whose behavior is causing concern; or
× If that discussion is unsatisfactory, or there is concern that direct discussion is inappropriate or threatening, discuss it
with the Chair of the Department.
For additional advice or assistance regarding this policy you may contact the student ombudservice:
(http://www.ombudservice.ualberta.ca/). Information about the University of Alberta Discrimination and Harassment Policy and Procedures can be found in the GFC Policy Manual, section 44 available at http://gfcpolicymanual.ualberta.ca/.
Plagiarism and Cheating:
All students should consult the “Truth‐In‐Education” handbook or Website (http://www.uofaweb.ualberta.ca/TIE/) regarding the definitions of plagiarism and its consequences when detected. Students involved in language courses and translation courses should be aware that on‐line “translation engines” produce very dubious and unreliable “translations.”
Students in language courses should be aware that, while seeking the advice of native or expert speakers is often helpful, excessive editorial and creative help in assignments is considered a form of “cheating” that violates the code of student conduct with dire consequences. An instructor or coordinator who is convinced that a student has handed in work that he or she could not possibly reproduce without outside assistance is obliged, out of consideration of fairness to other students, to report the case to the Associate Dean of the Faculty. Before unpleasantness occurs consult
http://www.uofaweb.ualberta.ca/TIE/; also discuss this matter with any tutor(s) and with your instructor.
Attendance, Absences, and Missed Grade Components:
Regular attendance is essential for optimal performance in any course. In cases of potentially excusable absences due to illness or domestic affliction, notify your instructor by e‐mail within two days. Regarding absences that may be excusable and procedures for addressing course components missed as a result, consult sections 23.3(1) and 23.5.6 of the University Calendar. Be aware that unexcused absences will result in partial or total loss of the grade for the “attendance and participation” component(s) of a course, as well as for any assignments that are not handed‐in or completed as a result.
