Econometric Theory and Applications Econ 598 A1 - Fall 2020
Instructor: Sebastian Fossati Office: Tory 7-11
Email: [email protected]
Website: http://www.ualberta.ca/~sfossati/
Office Hours: TBD
Lecture
Tuesday and Thursday 12:30 to 1:50 pm (remote synchronous lectures via Zoom).
Course Description
Advanced treatment of estimation, inference, and econometric techniques, including the use of matrix operations and statistical distribution theory, with an emphasis on applied econometric analysis.
Learning Goals
The main tool we learn is multiple regression analysis. By the end of the course, students should be able to: (1) Understand, interpret, and implement regression models and related statistical techniques. (2) Know the limitations and pitfalls of regression methods. (3) Be able to present the findings of a statistical investigation clearly and concisely.
Course Prerequisites and Corequisites
Prerequisites: Econ 481 and 482 or equivalent, and an advanced undergraduate level course in econometrics. These pre/corequisites are enforced by the department. If you do not have these pre/corequisites your registration may be cancelled.
Textbook
Davidson and MacKinnon (2004) will be our main reference for the theoretical content of the course. In addition, Kleiber and Zeileis (2008) will be our reference for econometric computing with R. Kleiber and Zeileis (2008) is available as a free download at the UofA library.
- Davidson, R., and MacKinnon, J.G. (2004): Econometric Theory and Methods. Oxford University Press.
- Kleiber, C., and Zeileis, A. (2008): Applied Econometrics with R. Springer.
ISBN: 978-0-387-77316-2.
Additional Textbooks
You may also find the following textbooks useful.
- Greene, W.H. (2012): Econometric Analysis, 7th Edition. Prentice-Hall.
ISBN: 978-0-131-39538-1.
- Verbeek, M. (2012): A Guide to Modern Econometrics, 4th edition.
- Wooldridge, J.M. (2013): Introductory Econometrics: A Modern Approach, 5th edition.
Econometrics Package
R is used extensively in the course. R is a free software environment for statistical computing and graphics (http://www.r-project.org). The course website has links to some R manuals for beginners and the Use R! series of books can be downloaded from the university library.
Grading
The final grade will be based on two super-sized homework assignments (more like mini papers, 20% each), a midterm exam (30%), and a final exam (30%). Further details will be provided as assignments are distributed. Regular class participation is expected. For this course, no extra credits are available.
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.
Special notes:
- Super-sized homework assignments will be a combination of computer problems using R and analytical problems. Collaboration is not permitted. Late submissions will be penalized.
- Super-sized Homework 1: Due Friday October 23 at 11:59 am.
- Super-sized Homework 2: Due Friday November 20 at 11:59 am.
- Additional assignments will be distributed butnot graded. Solutions will follow soon after the assignments are “due”.
- Midterm Exam: Thursday October 8. Take-home exam, will be a combination of computer problems using R and analytical problems. Sample exam questions will be made available on the course website.
- Final Exam: Friday December 18. Take-home exam, will be a combination of computer problems using R and analytical problems. Sample exam questions will be made available on the course website.
- You must not use answers from previous years or answers posted online. If I determine
Missed / Deferred Exams
Deferral of term work is a privilege and not a right; there is no guarantee that a deferral will be granted. Misrepresentation of Facts to gain a deferral is a serious breach of theCode of Student Behaviour.
There will be no make-up midterm exam. A student who misses the midterm exam because of incapacitating illness, severe domestic affliction or other compelling reason (including religious conviction) may have the percentage weight transferred to other class work.
Course Outline
Note: DM denotes Davidson and MacKinnon (2004).
1. Review of Statistics
DM: ch. 1.2, 4.2, 4.3, 4.5, 4.7, 5.1; Verbeek: app. B; Greene: app. B-D 2. Multiple Regression
DM: ch. 1-5; Verbeek: ch. 2, 3; Greene: ch. 2-6 3. Simulation Based Tests
DM: ch. 4.6, 5.3, 5.6; Greene: ch. 15.4 4. Nonlinear Regression Models
DM: ch. 6; Greene: ch. 7.1, 7.2 5. Generalized Least Squares
DM: ch. 7; Verbeek: ch. 4; Greene: ch. 9, 20 6. Instrumental Variables
DM: ch. 8; Verbeek: ch. 5; Greene: ch. 8 7. Generalized Method of Moments
DM: ch. 9; Verbeek: ch. 5; Greene: ch. 8 8. Maximum Likelihood Estimation
DM: ch. 10; Verbeek: ch. 6; Greene: ch. 14 9. Systems of Equations
DM: ch. 12; Greene: ch. 10
Student Responsibilities
Academic Integrity: The University of Alberta is committed to the highest standards of aca- demic 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 partic- ularly urged to familiarize themselves with the provisions of the Code of Student Behaviour (online at www.governance.ualberta.ca) and avoid any behaviour which could potentially result in suspicions of cheating, plagiarism, misrepresentation of facts and/or participation in an offence. Academic dis- honesty is a serious offence and can result in suspension or expulsion from the University.
All students should consult the Academic Integrity website. If you have any questions, ask your in- structor.
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. See the Academic Discipline Process.
Recording of Lectures: Audio or video recording, digital or otherwise, of lectures, labs, seminars or any other teaching environment by students is allowed only with the prior written consent of the instruc- tor or as a part of an approved accommodation plan. Student or instructor content, digital or otherwise, created and/or used within the context of the course 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 content author(s).
Disclaimer: Any typographical errors in this syllabus are subject to change and will be announced in class and posted on the course website. The date of the final examination is set by the Registrar and takes precedence over the final examination date reported in this syllabus.
Recording of Virtual Meetings
Note that lectures for this course will be recorded. Students have the right to not participate in the recording and can choose to turn off their cameras and audio prior to recording. It is recommended that students remove all identifiable and personal belongings from the space in which they will be participating. Recordings will be made available until the end of term and accessible eClass.
Protection of Privacy: Personal information is collected under the authority of Section 33(c) of the Freedom of Information and Protection of Privacy Act (Alberta) directly by the University or by an authorized service provider on behalf of the University, and will be protected under Part 2 of that Act. It will be used for the purpose of allowing students enrolled in the course to review the material and will be disclosed to other students enrolled in the class through eClass and in accordance with section 40 of the FOIP Act.
Please direct any questions about this collection to the professor of this course: Sebastian Fossati ([email protected]).
Student Resources
The best all-purpose website for student services is: https://www.ualberta.ca/current-students.
Accessibility Resources: The University of Alberta is committed to creating work and learning communities that inspire and enable all people to reach their full potential. Accessibility Resources promotes an accessible, inclusive, and universally designed environment. For general information to register for services visit the Accessibility Resources webpage.
The Academic Success Centre: The Academic Success Centre offers a variety of workshops on effective study and exam strategies. There are in-person and online sessions available for a modest fee.
The Centre for Writers: The Centre for Writers offers free one-on-one writing support to students, faculty, and staff. Students can request consultation for a writing project at any stage of development.
Instructors can request class visits and presentations.
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 behaviour that undermines that environment.
The University of Alberta acknowledges that we are located on Treaty 6 territory, and respects the histories, languages, and cultures of the First Nations, M´etis, Inuit, and all First Peoples of Canada, whose presence continues to enrich our vibrant community.
Policy about course outlines can be found in the Evaluation Procedures and Grading System sec- tion of the University Calendar.
Copyright: Sebastian Fossati, Faculty of Arts, University of Alberta 2020
