Theory and Practice of Econometrics
Spring 2014
Course Information
Course Content
Class Format
Prerequisites
Office Hours
Exams and Other Assignments
Grading
Texts and Software
Course Content
Econometrics is the application of statistical techniques to the analysis of economic data. It has its basis in pure mathematical statistics, but has developed as a distinct branch of the parent subject in order to serve particular data-analysis needs often faced by economists. The best (perhaps the only) way to learn econometrics is to do econometrics. This course will emphasize hands-on application of econometric techniques with natural data, not textbook proofs of statistical theorems. Some attention will be paid to the nature and sources of economic data. The principal mission of this course is to provide students with a set of econometric tools that can be applied as needed in economic research, including thesis work.
Class Format
This class meets for a total of four hours per week, 12-1 pm on Mondays, Wednesdays, Thursdays, and Fridays. Most weeks, about three of those hours will be a lecture/conference session that will examine econometric techniques and their applications. The remaining time will usually include discussion of the weekly assignments or other econometric applications.
Prerequisites
Economics: The only economics prerequisite is Econ 201. In practice, the more economics you have taken, the more applications of econometrics you will recognize as we proceed through the course.
Mathematics: Math 141 or equivalent background in statistical analysis is an important prerequisite. Students will be expected to have a working understanding of basic statistics, including the concepts of probability distributions, expected value and variance, estimators, unbiasedness, hypothesis tests, and confidence intervals. A very brief review of these topics is conducted January 23-24 for those whose background in statistics may be limited or rusty. Matrix and vector notation will also be used in class at times. For those with no background, a session covering basic matrix methods will be offered through the Quantitative Skills Center during the first two weeks of the semester.
Office Hours
The instructor will hold office hours in Vollum 229 on Mondays and Wednesdays from 1:30 to 3:00. Students for whom these hours are inconvenient may make appointments at other times by contacting the instructor at extension 7308 or by email to parker@reed.edu.
Exams and Other Assignments
Exams: There will be a mid-term exam and a comprehensive final exam. Both exams may have in-class and/or take-home parts. There will be no term paper for the course, though there will be a final project as discussed below.
Daily problems: There will be a short question or problem related to each day's class topic that should be submitted at the beginning of class. The intent of these assignments is to help us use class time more efficiently by focusing students' attention on an important point that we will cover. In most cases, these assignments should take only a few minutes once you have done the day's reading. If it's taking you more than a half-hour or so to do this work, then you should submit what you have done and ask related questions in class. These assignments will be not be formally graded as right or wrong (although it's always better to get them right), but rather assessed on the basis of meaningful engagement and preparation. It is not expected that every students will complete every daily assignment, but missing on a regular basis is not acceptable.
Weekly econometric projects: An applied project using statistical software to estimate models will be assigned most weeks. Detailed information about assignments will be posted weekly on the Web site. The weekly econometric projects will usually be done by teams of two students, who jointly submit a single collaborative report. Guidelines for collaboration on the projects and a sample report are posted on the Web site. The instructor will assign teams; you will generally work with a different partner each week. Reports are to be submitted by electronic mail no later than midnight Monday night. The instructor will read the reports and send email comments to each student. We will often devote some class time to discussion of the projects either when they are assigned or after they have been completed. Because of the short turnaround time between the submission deadline and the class discussion, late work will be severely penalized. Projects received between midnight Monday and midnight Tuesday will receive half credit. Projects more than 24 hours late will not be accepted.
Final Project: We will undertake a final project during the second half of the semester. The projects will be announced after spring break and students will choose their groups and topics from among a set offered by the instructor or proposed by students. As the semester progresses, groups should think about how the various econometric methods we study could be applied to their projects. Some preliminary analysis on the final project, such as data collection and cleaning, may be done during the semester as well. During the last weeks of the semester, work on the final project will replace the weekly project assignments and groups will work intensively together to complete their analyses. The outcome of the analysis will be presented in a written report and an oral presentation during final exam week.
Grading
Grades will be based on all information the instructor has about your level of understanding of econometrics. This includes evidence from exams, homework, projects, class participation, and individual discussions.
Texts and Software
Text: The main text for this course is R. Carter Hill, William E. Griffiths, and Guay C. Lim's Principles of Econometrics, 4th ed. (HGL). This is a modern text that covers recent developments in econometrics. It has extensive examples of applications and good problems, both theoretical and applied. Students will be expected to have unlimited access to this book, which is available in the Reed Bookstore. A couple of copies will be on reserve. Datasets referred to in the text (and used in the examples and problems) are available from the publisher's Web site.
Other Texts: There are several econometrics textbooks on reserve. Some of these are less mathematical than HGL; others are more rigorous. Most sections of the reading list have references to relevant sections of these texts that cover the same topic. There will be some required reading assignments from these alternative texts, but most of the time you are simply encouraged to explore these texts if you find that our presentation is inappropriately easy or difficult.
Software: Students will use the statistical package Stata 13 for most course assignments. This software is available on the computers in the IRCs and the PPW. If you are interested in having your own copy of Stata for either PC or Mac, you may purchase a one-year student license to the full version of Intercooled Stata 13 for $98 (6 months for $65, perpetual for $189) from http://www.stata.com/coursegp.html. (The GradPlan ID for ordering is JP312.) A full set of Stata manuals is on reserve in the library. In addition, any section of the full printed documentation is available in pdf form from within Stata.