ECON335

INTRODUCTION TO ECONOMETRICS

Fall 2014 David Mushinski
M-F: 9:30 - 11:30 a.m.
Room: A 704

Course Objectives

This course introduces students to the basics of econometric analysis. The course will start with a
review of the statistical underpinnings of econometric analysis. It will then turn to the Classical
Linear Regression Model (CLRM), with discussions of deviations from the assumptions of the
CLRM toward the end of the course. The course discussion will include hypothesis testing,
prediction, choosing functional forms, and model specification. We will complete the course by
considering multiple-equation models and, time permitting, binary dependent variable models.

Students will receive hands on experience by applying what they have learned in class to data
sets. Their empirical analysis will involve using the STATA software package.


Upon completion of this course, a successful student should

1) understand and be able to explain the characteristics of the CLRM and understand when it
applies to a given econometric model,
2) understand the characteristics of the Ordinary Least Squares (OLS) estimator and its relevance
to the CLRM,
3).be able to interpret estimates of the parameters of a given model,
4) be able to undertake hypothesis tests regarding parameters of a model,
5) understand the differences between possible functional forms for the relationship between a
dependent and independent variables,
6) know how heteroskedasticity and autocorrelation affect using the OLS estimator to estimate a
regression model and the alternative estimators which account for heteroskedasticity and
autocorrelation, and
7) be able to use the STATA software package to estimate the regression models reviewed in
class.


Textbook

Gujarati, Damodar and Dawn C. Porter (2010). Essentials of Econometrics (4
th
ed.). McGraw
Hill/Irwin: New York, New York.

I may make some of my class notes (Notes) available to students. The notes are designed to
supplement assigned materials. The notes have not been proofread. Use of the notes is optional.
I make my notes available to help the students who will benefit from them. You do not have to
use the notes if they do not help you learn the materials.





Contact Hours: Each week students will be expected to spend the following time on this course

Activity Contact Hours per Week

Attend Class 10
Review Assigned Readings prior to class 10
Review Class Notes after class, and prepare for tests 12
Total 32


Grading

There will be four examinations: one on each Friday of the course. Each exam will be worth 25%
of the course grade.


Accommodations for Students with Disabilities: University policy regarding students with
disabilities is defined at http://rds.colostate.edu./

Office Hours: TR 11:30 a.m. - 12:30 p.m. and by appointment.

Academic I ntegrity:

The University takes academic integrity seriously. At a minimum, academic integrity means that
no one will use anothers work as their own. Of course, academic integrity means more than just
avoiding plagiarism. It also involves doing your own reading and studying. It includes regular
class attendance, careful consideration of all class materials, and engagement with the class and
your fellow students. Academic integrity lies at the core of our common goal: to create an
intellectually honest and rigorous community.

Because academic integrity, and the personal and social integrity of which academic integrity is
an integral part, is so central to our mission as students, teachers, scholars, and citizens, we will
ask to you sign the CSU Honor Pledge as part of completing all of our major assignments. While
you will not be required to sign the honor pledge, we will ask each of you to write and sign the
following statement on your papers and exams:

I have not given, received, or used any unauthorized assistance.




Course Outline

Topic Reading
(Chapter references are to Gujarati)

I. Introduction Ch. 1

II. Statistics Review

(A) Probability and Distribution Theory Appendices A, B, and C.

(B) Statistical I nference Appendix D.


III. Basic Ideas of Linear Regression: The Two-Variable Model Ch. 2.


IV. The Two-Variable Model: Hypothesis Testing Ch. 3.


V. Multiple Regression: Estimation and Hypothesis Testing Ch. 4.


VI. Functional Forms of Regression Models Ch. 5


VII. Dummy Variable Regression Models Ch. 6


VIII. Model Selection: Criteria and Tests Ch. 7


IX. Multicollinearity Ch. 8


X. Heteroskedasticity Ch. 9


XI. Autocorrelation Ch. 10


XII. Simultaneous Equation Models Ch. 11


XIII. Binary Dependent Variable Models Ch. 6 7.
Ch. 12 6.