Singapore Management University

Term 2, 2008-2009

E CON 107: A PPLIED E CONOMETRICS

Instructor Assistant Professor AN Sungbae Ofce: Phone: E-mail: Consultation Hours Teaching Assistant Course Webpage Class Meeting TBA TBA http://www.mysmu.edu/faculty/sungbae/econ107/ (G3) (G4) F 8:30am 11:45am F 12:00nn 3:15pm SESS Seminar Room 3.3 (RM 3009) SESS Seminar Room 3.3 (RM 3009) SESS 5025 6828 0873 sungbae@smu.edu.sg

Course Description This course is designed to introduce econometric techniques and their applications in economic analysis and decision making. The main objective of the course is to train the student in (a) handling economic data, (b) quantitative analyses of economic models with probabilistic tools, (c) econometric techniques, their application as well as their statistical and practical interpretation, and (d) implementing these techniques on a computer. For computer based calculations, GRETL (http://gretl.sourceforge.net/) will be used. Throughout the course, estimation and inference procedures are formally analyzed for simple econometric models and illustrated by empirical case studies using real life data. The course covers linear regression models, simultaneous equations models, and univariate time series models.

Prerequisites Introductory Statistics (STAT101/STAT102) or Introduction to Statistical Theory (STAT151), Introductory Economics (CORE001/CORE004), and Calculus (MATH001).

Course Texts The required textbook is [SW] Stock, J.H. and M. Watson (2007) Introduction to Econometrics, 2nd Edition, PearsonAddison-Wesley. In addition to the textbook, a set of lecture slides will be provided. For supplementary purpose, you may want to consult the following materials: [G1] Gujarati, D.N. (2003) Basic Econometrics, 4th Edition, McGraw-Hill. [G2] Gujarati, D.N. (2006) Essentials of Econometrics, 3rd Edition, McGraw-Hill. [HGL] Hill, R.C., W.E. Grifths, and G.C. Lim (2008) Principles of Econometrics, 3rd Edition, John Wiley & Sons. [W] Wooldridge, J.M. (2009) Introductory Econometrics: A Modern Approach, 4th Edition, Thomson South-Western.

Course Requirements and Evaluation this course.

The following is the breakdown of your grade for

Class Participation [10%]: Students are encouraged to ask questions and provide suggestions throughout the course. Quizzes are given on the randomly selected dates without advance notice. Problem Sets [10%]: There will be approximately 7 problem sets, assigned during the semester. The problem sets are designed to give the students the opportunity to review and enhance the material learned in class. Students are encouraged to form small study groups, however, each student has to submit his or her own write-up of the solution. These solutions must be submitted on the specied due dates. Late submission will not be accepted. Group Project [15%]: Groups of at most 3, one copy not exceeding 10 pages, due on Thursday, 9 April 2009, assigned after midterm, graded on scale 0-100, -5 points/day penalty for late submission. 2

 Midterm Exam [30%]: In class on Friday, 7 March 2009. Closed books and notes. There will be no make-up examination for the mid-term. If a student is excused from the midterm exam with advance notice and approval from the instructor, his or her nal exam will be weighted 65%. Final Exam [35%]: Data and venue TBA. Closed books and notes.

Course Outline The following provides an outline of topics to be covered in this course. Course Overview and Statistics Review ([SW] Chapters 1-3; 1 week) Simple Linear Regression and Hypothesis Testing ([SW] Chapters 4-5; 3 weeks) Multiple Linear Regression and Hypothesis Testing ([SW] Chapters 6-7; 2 weeks) Functional Forms ([SW] Chapters 8-9; 1.5 weeks) Regression with Panel Data ([SW] Chapter 10; 1 week) Instrumental Variables Regression ([SW] Chapter 12; 1 week) Simultaneous Equations Model ([G2] Chapter 15 & lecture note; 0.5 week) Introduction to Time Series Analysis ([SW] Chapter 14; 1 week) Dynamic Causal Effects ([SW] Chapter 15; 1 week)