Carleton University

Department of Economics
ECON 5027 F&G
Econometrics I
Professor: Ba M. Chu

2012 Fall

Office:
Telephone:
E-mail:
Web:

B-857 Loeb
613-520-2600 ext. 1546
ba_chu@carleton.ca
http://www.carleton.ca/~bchu (please check the course webpage regularly
everyday for course materials, assignments, and important announcements)
Classes:
Section F: Tuesdays, 11:35 a.m. 2:25 p.m.
Section G: Fridays, 2:35 p.m. 5:25 p.m.
Office Hours: TBA
Nature of the Course:
This course covers econometric methods associated mainly with univariate and multivariate
regressions. Introductory concepts related to simple and multiple regressions are assumed known.
Relevant fundamentals of econometric theory underlying Generalized Least Squares (GLS) and
Instrumental Variables (IV) inference are introduced, with focus on empirical applications. The
course will specifically consider:
The classical regression model
Testing linear and non-linear constraints
Basic Regression diagnostics
Non-spherical regression errors (autocorrelation, heteroskedasticity (including ARCH))
Seemingly Unrelated regressions and multivariate regressions with Panel data; Lagged
Endogenous variables, unit roots and co-integration (a very preliminary introduction; a
detailed treatment will be provided in ECON 5713)
Endogenous regressors and simultaneous equation systems.
The inference methods covered include: Ordinary Least Squares; Generalized Least Squares;
Indirect Least Squares; Maximum Likelihood; Instrumental Variables, including Two-StageLeast-Squares.
The course exposition is formal and technical, yet the main focus is on applicability. The
course includes two assignments using well known data sets and econometric problems of recent
interest in economics.
Plagiarism:
Please be aware that plagiarism is serious offence at Carleton and should be recognized and
avoided. For further information on how to do so, please see Pammett on Plagiarism and
Paraphrasing at www.carleton.ca/economics/courses/writing-preliminaries/.
Academic Accommodation Requests:
Students may need special arrangements to meet their academic obligations during the term
because of disability, pregnancy, or religious obligations. Please review the course outline
promptly and write to the instructor with any requests for academic accommodation during the

ECON 5027 F&G

2012 Fall

first two weeks of class, or as soon as possible after the need for accommodation is known to
exist.
Students with disabilities requiring academic accommodations in this course must register with
the Paul Menton Centre for Students with Disabilities (PMC) for a formal evaluation of
disability-related needs. Documented disabilities could include, but are not limited to,
mobility/physical impairments, specific Learning Disabilities (LD), psychiatric/psychological
disabilities, sensory disabilities, Attention Deficit Hyperactivity Disorder (ADHD), and chronic
medical conditions. Registered PMC students are required to contact the PMC (telephone: 613520-6608) every term to ensure that their instructors receive their Letter of Accommodation no
later than two weeks before the first assignment is due or the first in-class test/midterm requiring
accommodations. Students requiring accommodations for their formally scheduled exam(s) only
in this course must submit their requests for accommodations to the PMC well in advance
please refer to the following link for further information:
http://www1.carleton.ca/pmc/students/accommodations/.
See the Equity Services Web site at www.carleton.ca/equity/accommodation to obtain more
detailed information on academic accommodation to view the associated policies.
Texts and References:
[G00] Greene, W. H. (2000). Econometric Analysis, 4th Edn, Prentice Hall. (A latest edition --6th
Edn -- is available.) (The 15th lecture will be based on this textbook.)
[JD97] Johnston, J. and DiNardo, J. (1997). Econometric Methods, 4th Edn, McGraw Hill. (This is
the main textbook.)
[G06] Gujarati, D. N. (2006). Essentials of Econometrics, 3rd Edn, McGraw Hill. (This textbook is
good for preliminary concepts and nice empirical applications)
Notes:
1. GRADE:
o

Exam I (20%), 3 hours, (the exam date will be announced on my webpage). If a student
misses the midterm exam for any reason, the weight (%) of the midterm will be automatically
added to the final exam. There will be no deferred midterm exam offered. If the mark in the
final is higher than the mid-term, I will ignore the midterm.

Exam II (50%), 3 hours, between December 8 and 21 (at a time and place set by the
University). Failure to write the final examination will result in a grade of ABS.
Application to write a deferred final examination must be made at the Registrars Office.

Assignment I (10%, individual work), due on the 4th week. Failure to hand in Assignment I
on time the deadline will be specified on the front page of the question sheet; usually, 5
p.m. on the Friday of that week -- will result in a grade of zero (out of 10%).

Assignment II (10%, individual work), due on the 8th week. Failure to hand in Assignment II
on time the deadline will be specified on the front page of the question sheet; usually, 5
p.m. on the Friday of that week -- will result in a grade of zero (out of 10%).

ECON 5027 F&G

2012 Fall

Assignment III (10%, individual work), due on 13th week. Failure to hand in Assignment III
on time the deadline will be specified on the front page of the question sheet; usually, 5
p.m. on the Friday of that week -- will result in a grade of zero (out of 10%).

For your assignments, you may use the EViews, Stata, or TSP program on the computer
network or the RATS and CATS programs on a PC in the Economics Resource Room (C865
LA). The EViews and TSP manuals are in C865 LA and the RATS and CATS manuals from
Mrs. Renee Lortie in C874 LA.

You may also use SHAZAM econometrics computer package (Ver. 10 Prof. Edition). Personal
copies of SHAZAM are available from HP 1251 (Tunnel level). The current cost is $10. Please
refer to the manual for the installation instruction.
Computers and printer in C865 LA are available for course work and can be accessed
08:30-16:30 Monday to Friday.
Note that I will post assignments on the webpage at least two weeks before the due dates. Note
also that no course grades are final until approved by the Faculty Dean.
Course Structure:
Readings in applied work will be assigned as the course progresses.
1) Week 1: Matrix algebra and basic statistical inference. (Ch. 2 of G00 and Appendix
A & B of JD97)
2) Week 2: Classical regression model (Ch. 3 of JD97)
3) Week 3: Statistical inference and basic large-sample theory (Ch. 5 of JD97)
4) Week 4: Some tests of linear regression model for specification error (Ch. 4 of
JD97)
5) Week 5: Heteroscedasticity and autocorrelation (Ch. 6 of JD97 and Ch. 13 G00)
6) Week 6: Review Session.
7) Week 7: Mid-term exam. (TBA)
8) Week 8: Heteroscedasticity and autocorrelation (contd.) (Ch. 6 of JD97 and Ch. 13
G00)
9) Week 9: Generalized methods of moments (Ch. 10 of JD97)
10) Week 10: Panel data (Ch. 12 of JD97)
11) Week 11: Linear systems of simultaneous equations (Ch. 9 of JD97 and Ch. 15 of
G00)
12) Week 12: Linear systems of simultaneous equations (contd.)
13) Week 13: Final review.