Introduction to Econometrics Economics 4973
Spring 2006
Instructor: Noel Brodsky


Office: 2831 (215D) Coleman Hall
Phone: 581-6334
Hours: 1:00pm-2:00pm MWF or by Appointment
http://www.eiu.edu/~econinfo

GRADE DETERMINATION:
1 TERM PAPER (WORD PROCESSED-100 POINTS) = 100 POINTS
1 FINAL EXAM (CUMULATIVE) = 100 POINTS
TOTAL 200 POINTS

Expected Grade Distribution and Curve Structure:
Curve Structure: Average exam score will be set at or near a baseline "B", excluding all zeros, whenever necessary.
The Cutoffs are as follows:
88% = A, 77% = B, 66% = C, 55% = D, below 55% is an F

Special Information: Term paper: The paper must utilize a word processor, done by the student turning the paper in for his or her grade. Failure to do this will result in a failing grade for the paper. The paper is absolutely required for the course, and regardless as to the point value of the paper, failure to turn it in will result in an automatically failing grade for the course. The paper is of your own making, subject to my approval. The paper must be on a topic related to Economics. A poor topic choice is serious, and can result in a loss of 3 (three) letter grades on the paper. It is a longer paper, say about 15-25 pages. Do not ever copy from someone else.

Important Dates:


Paper: Proposal Due March 31, 2006 Paper Length: 15-25 pages, word processed, double-spaced, your work. Final Draft Due Monday April 24, 2006, at 4:00pm. The paper may be turned in on Wednesday, April 26, 2006, with the loss of 2 letter grades, each day thereafter, one letter grade is lost.

If you have a documented disability, and wish to discuss academic accommodations, please contact me as soon as possible.

Special requirement: All students are required to have a computer account. Email is a fundamental means of communication for this course, expect to use it. You are also required to use a statistical package for this course. I will use SHAZAM, and will provide you a means to install the package on the system of your choice. You may choose to use a different package, but I will not support any other package. Excel, while useful for some elements of the course, is not an acceptable statistical package.




Introduction to Econometrics Economics 4973

N. Brodsky, Instructor

Syllabus

Text: Introduction to Econometrics, 5th ed. James H. Stock and Mark Watson, Addison-Wesley, Boston, MA, 2003

Chapter Topic

  • 1,2,3. Review:
  • Hypothesis Testing,
  • Confidence Intervals,
  • Expected Value,
  • p-values,
  • Tests on means (Z&t),
  • variances (c2),
  • F-test.
  • 4. Linear Regression with One Regressor
  • OLS Estimation
  • Assumptions
  • Coefficient Tests
  • R2 and Standard Error
  • Heteroscedasticity

  • 5. Linear Regression with Multiple Regressor
    •
  • OLS Estimation
  • Assumptions
  • Single Variable Tests
  • Joint Variable Tests
  • R2 Adjusted R2 and Standard Error
  • 6. Nonlinear Regression Functions
  • Polynomials
  • Logarithmic
  • 7. Assessing Studies Based on Multiple Regession
  • Omitted Variable Bias
  • 10. Instrumental Variables Regression
  • Identification Issues
  • 2 Stage Least Squares
  • 12. Regression Analysis of Economic Time Series Data
  • Autocorrelation
  • Autoregressions
  • Distributive Lags and ARIMA
  • Trends
  • Breaks
  • 14. Additional Topics in Time Series Regression
  • Integration and Unit Roots
  • Cointegration
  • Conditional Heteroscedaticity
  • 9. Regressions with a Binary Dependent Variable
  • Linear Probability
  • Probit and Logit
  • 15. The Econometric Theory of Regression Analysis
  • Extended OLS Assumptions
  • Asymptotic Distribution Theory
  • Weighted Least Squares
  • 16. The Theory of Multiple Regression
    •
  • Extended OLS Assumptions
  • Asymptotic Distribution Theory
  • Generalized Least Squares
    • FINAL EXAM (cumulative)

    The Textbook has a website with nice resources, including Powerpoint lecture slides you might find useful. It is at the Stock and Watson Econometrics Website. Touch either of the blue (or red) underlined link. The 2SLS wage data is here.