ECON213-17S1 (C) Semester One 2017

# Introduction to Econometrics

 15 points, 0.1250 EFTS20 Feb 2017 - 25 Jun 2017

## Description

Simple and multiple regression, elementary time-series analysis, introduction to econometric modelling.

This course teaches basic skills in econometrics, which is the statistical analysis of economic data. The emphasis in this class is on doing! Over the course of the semester, you will learn how to (i) develop a regression model, (ii) estimate it, and (iii) interpret it. General topics that we will cover include OLS regression, prediction, dummy variables, model specification, model selection, robust standard errors, time series forecasting, endogeneity, and qualitative choice models (logit and probit). You will gain much hands-on experience estimating statistical models using the software package EViews.

## Learning Outcomes

Learning Goals.  In this course you will learn how to:

• Estimate relationships between variables using OLS regression
• Interpret OLS regression output
• Interpret coefficient estimates in linear regression models, including coefficients for dummy variables, interaction effects, and quadratic terms; in both linear, logged and semi-logged specifications
• Test linear hypotheses about regression coefficients, and know how to interpret those tests
• Use regression output to predict values of the dependent variable for given values of the explanatory variables
• Use higher level modelling skills to develop, estimate, and analyse your own economic model
• Understand (i) what serial correlation and heteroskedastity are, (ii) their consequences for OLS regression, and (iii) how to estimate “robust” standard errors
• Recognize applications where endogeneity is likely to be a problem, and understand its consequences for OLS regression
• Identify good instrumental variables and use 2SLS to correct for endogeneity bias
• Critically analyse the results of 2SLS estimation to determine whether 2SLS represents an improvement over OLS
• Develop univariate ARMA models for forecasting time series data
• Understand the consequences of using OLS to estimate regression models with a binary dependent variable
• Estimate logit and probit models, and know how to interpret and evaluate the output from estimating those models
• Identify some common practical problems encountered in model estimation, and know how to address these problems
• Become proficient in the use of EViews statistical software
• Understand the theory underlying OLS and GLS estimation.
• Mathematically derive the formulae for calculating OLS and GLS (i) regression coefficients and (ii) standard errors, using both summation operators and matrix calculus.

## Pre-requisites

(1) ECON104 or ECON105; and (2) 15 points from STAT or MSCI110. RP: MATH101 or Year 13 Math with Calculus.

## Recommended Preparation

MATH101 or Year 13 Math with Calculus.

## Timetable 2017

Students must attend one activity from each section.

Activity Day Time Location Weeks Lecture A 01 Tuesday 09:00 - 10:00 E6 Lecture Theatre 20 Feb - 9 Apr 1 May - 4 Jun Lecture B 01 Thursday 14:00 - 15:00 Erskine 031 Lecture Theatre 20 Feb - 26 Mar 3 Apr - 9 Apr 1 May - 28 May Lecture C 01 Thursday 15:00 - 16:00 Erskine 031 Lecture Theatre 20 Feb - 26 Mar 3 Apr - 9 Apr 1 May - 28 May Computer Lab A 01 Friday 14:00 - 15:00 Erskine 010 Crypt 2 20 Feb - 9 Apr 1 May - 4 Jun 02 Friday 11:00 - 12:00 Erskine 010 Crypt 2 20 Feb - 9 Apr 1 May - 4 Jun 03 Friday 12:00 - 13:00 Erskine 010 Crypt 2 20 Feb - 9 Apr 1 May - 4 Jun

## Examination and Formal Tests

Activity Day Time Location Weeks Test A 01 Thursday 14:00 - 16:00 Erskine 248 Computer Lab (30/3)Erskine 001 Crypt 1 (30/3) 27 Mar - 2 Apr Test B 01 Thursday 14:00 - 16:00 Erskine 248 Computer Lab (1/6)Erskine 001 Crypt 1 (1/6) 29 May - 4 Jun

## Assessment

Assessment Due Date Percentage
Weekly assignments 10%
Final Exam 35%
First term E-Views test 30 Mar 2016 25%
Second term E-Views test 01 Jun 2016 30%

## Textbooks

#### Required Texts

Dennis Halcoussis; Understanding Econometrics; South-Western (This is out of print. You can purchase a custom-published hard copy version, or get the e-book via www.cengagebrain.co.nz. Enter "CP0602 Understanding Econometrics" in the search box).