INTRODUCTION TO ECONOMETRICS
Instructor: Professor James Tybout
Office hours: Tuesdays 1:30-2:30
and by appointment
Teaching Assistant: Sehwan Bae
Office Hours: Wednesday 3:30-5:30
Course content and mechanics
This course provides an introduction to the empirical analysis of single equation and two-equation economic models. Grades will be based upon 2 midterms worth 100 points each, problem sets worth 100 points combined, and a comprehensive final worth 150 points. Homework problems will be assigned and collected weekly. Each assignment will be linked to this page one week prior to their due date; answer keys will also be linked after the assignments are collected.
On the afternoon before each class meeting, lecture notes will be linked to the relevant entry in the course outline below. Students are responsible for printing these notes out and bringing them with them to class.
students are required to have taken ECON 390 or its equivalent prior to
enrollment. Elementary calculus will also be used occasionally.
There will be no make-up exams. Those who miss a midterm exam without a valid excuse will receive a zero for that exam. Those who miss an exam but document a valid excuse for their absence will receive a course grade based on their remaining course work. The Economics Department position on valid excuses is as follows:
During the course many possible situations may arise that would result in your inability to attend class, attend exams, or perform at a minimally acceptable level during an examination. Illness or injury, family emergencies, certain University-approved curricular and extra-curricular activities, and religious holidays can be legitimate reasons to miss class or to be excused from a scheduled examination.
In the case of your own illness or injury, confirmation from a physician, physician’s assistant, a nurse-practitioner, or a nurse is required. Be advised that University Health Services cannot provide such verification unless they have provided treatment and the student authorizes release of information to the instructor. Further, barring extraordinary circumstances, the confirmation must be available to the instructor prior to the missed course event.
With regard to family emergencies, you must provide verifiable documentation of the emergency. Given the vast array of family emergencies the instructor will provide precise guidance as to what constitutes adequate documentation. Unless the emergency is critical you should notify the instructor in advance of your absence from the scheduled course event. In cases of critical emergencies, you must notify the instructor within one week of your absence.
For University-approved curricular and extra-curricular activities, verifiable documentation is also required. The student should obtain from the unit or department sponsoring the activity a letter (or class absence form) indicating the anticipated absence(s). The letter must be presented to the instructor at least one week prior to the first absence.
In the case of religious holidays, the student should notify the instructor by the third week of the course of any potential conflicts.
The text for this course is: Introduction to Econometrics (2nd Edition), by James Stock and Mark Watson (Pearson/Addison-Wesley, 2007). The course will also make use of a statistical software package, STATA, which is accessible in all of the PSU computer labs. Keep in mind that the University’s STATA license only allows 20 simultaneous users, so you may have trouble getting on if you wait until the last minute to do your homework. (Students who wish to work on their own machines can purchase their own copies of STATA, but it costs $380.) Data sets used in the text--both for examples and for exercises--can downloaded free from the text web site: http://www.aw-bc.com/stock_watson .
The ability of the University to achieve its purposes depends upon the quality and integrity of the academic work that its faculty, staff and students perform. Academic freedom can flourish only in a community of scholars which recognizes that intellectual integrity, with its accompanying rights and responsibilities, lies at the heart of its mission. Observing basic honesty in one's work, words, ideas, and actions is a principle to which all members of the community are required to subscribe.
All course work by students is to be done on an individual basis unless an instructor clearly states that an alternative is acceptable. Any reference materials used in the preparation of any assignment must be explicitly cited. In an examination setting, unless the instructor gives explicit prior instructions to the contrary, whether the examination is in-class or take-home, violations of academic integrity shall consist of any attempt to receive assistance from written or printed aids, or from any person or papers or electronic devices, or of any attempt to give assistance, whether the one so doing has completed his or her own work or not. Other violations include, but are not limited to, any attempt to gain an unfair advantage in regard to an examination, such as tampering with a graded exam or claiming another's work to be one's own.
also consist of obtaining or attempting to obtain, previous to any
examinations, copies of the examination papers or the questions to appear thereon,
or to obtain any illegal knowledge of these questions. Lying to the instructor
or purposely misleading any
In cases of a
violation of academic integrity it is the policy of the Department of Economics
to impose the most severe penalties that are consistent with University
guidelines. For further details on
Previous exams and extra practice problems
Review session: Monday, April 2, 4:40 PM, Rackley 104
Review session: Tuesday, May 8, 5:00 PM, Rackley 104
Final Exam: Thursday, May 10, 4:40-6:30, Rackley 104
I. Introduction and Review
a. Methodology of empirical economics (Chapter 1 and Section 4.1) (lecture 1)
II. Bivariate Regression Models
b. Statistical properties of OLS estimators (Sections 4.4 through 4.6; Appendix 4.3) (lecture 8)
c. Introduction to STATA
III. Inference with the Bivariate Model
c. Heteroskedasticity (Section 5.4) (lecture 13)
Exam one: February 22
V. Inference with Multiple Regression Models
a. Simple hypothesis tests and confidence intervals (Sections 7.1)
d. Adjusted-R2 revisited (Section 7.5)
VI. Some Specification Issues
VII. Qualitative Response Models
Exam two: April 3
VIII. Instrumental Variables
a. The notion of instruments (Section 12.1) (lecture 24)
b. The general IV regression model (Section 12.2)
c. Issues and examples (Sections 12.3-12.6)
IX. Time Series Modeling
a. Overview of times series data and serial correlation (Sections 14.1 and
14.2) (lecture 25)
b. Autoregressive models (Sections 14.3 and 14.4) (lecture 26)
c. Trends and stationarity (Section 14.5 and 14.6) (lecture 27)
d. Dynamic causal relationships (Sections 15.1-15.3)
e. Co-integration (Sections 16.1-16.4)
Final exam: Thursday, May 10, 4:40-6:30, 104 Rackley