Columbia University Department of Economics

Fall 2011

ECON W3412, Section 2 Introduction to Econometrics

Professor: Marcelo Moreira (mjmoreira@columbia.edu) Office hours: Tuesdays, 10:45am-11:45am, and by appointment (IAB 1020) Lectures: Mondays and Wednesdays, 01:10pm-02:25pm (Hamilton 702) Required Textbook: Stock, James H. and Watson, Mark W. Introduction to Econometrics, Addison Wesley Publishing, (3rd edition) 2011 Recommended Textbook: Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach, South-Western Publishing, (4th edition) 2009 Teaching Assistants: Shreya Agarwal (sa2628@columbia.edu) Joseph Hogan (jph2154@columbia.edu) Ilton Soares (igs2104@columbia.edu) Teaching Assistants will hold one-hour recitation and one-hour office hours per week COURSE DESCRIPTION: Economics W3412 introduces students to multiple regression and related methods for analyzing data in economics and related disciplines. Additional topics include regression with discrete random variables, instrumental variables regression, analysis of random experiments and quasi-experiments, and regression with time series data. Students will learn how to conduct and how to critique empirical studies in economics and related fields. Accordingly, the emphasis of the course is on empirical applications. The mathematics of econometrics will be introduced only as needed and will not be a central focus. Students seeking a treatment of econometric theory with a higher level of mathematics should take Economics W4412. Prerequisite: Economics W3211 OR W3213 (Intermediate Microeconomics or Macroeconomics); Mathematics V1201 (Calculus III); and Statistics W1211 (Introduction to Statistics). ASSIGNMENTS: There will be weekly problem sets, each of which involves empirical analysis. The course statistical software is STATA. You may purchase STATA through Columbia at a reduced academic price but this is strictly optional. Problem sets and data will be posted on the course Web page. Please hand in your homework assignments at the beginning of class the day they are due. Assignments handed in after this will not be graded. Late assignments are NOT accepted under any circumstances. GRADING At the end of the semester, teaching assistants will give a grade out of 20 for each student (call this grade PS). In computing your total problem set grade, the lowest grade out of 9 problem sets will be dropped. The grade will not count in the overall grade if you do better in the final. There will be one midterm exam, which will take place on Wednesday October 26 in class. You will receive a grade out of 30 (denote this grade MT). There will be no make-up midterm exams, but the midterm will not count if you do better in the final The final exam will receive a grade out of 50 (call it FI). The overall course grade will be determined like this: CG=max(PS, 0.4*FI)+max(MT, 0.6*FI)+FI.

TENTATIVE CLASS SCHEDULE:

Readings: Lect # Date/Day 1 2 3 4 5 6 7 8 9 10 11 12 13 14 Topic SW Ch. # 1, 2, 3 1, 2, 3 2, 3, 4 4, 5 4, 5 6, 7 6, 7 7 8 8 8 9 9 10 Midterm 10 10,11 PS#5 PS#5 PS#4 PS#4 PS#3 PS#3 PS#2 PS#2 PS#1 PS#1 Problem Sets: Posted Due

Sep. 7 Wed Introduction and Review of Statistics I 12 Mon Review of Statistics II 14 Wed Review of Statistics III; Bivariate regression I 19 Mon Bivariate regression II 21 Wed Bivariate regression III 26 Mon Multiple regression I 28 Wed Multiple regression II Oct. 3 Mon Multiple regression III 5 Wed Nonlinear models I 10 Mon Nonlinear models II 12 Wed Nonlinear models III 17 Mon Assessing regression studies I 19 Wed Assessing regression studies II 24 Mon Panel data I & midterm review 26 Wed

15 16

31 Mon Panel data II Nov. 2 Wed Panel data III, Binary dependent variable I 7 Mon Election day University holiday

17 18 19 20 21 22 23 24 25 26

12 Wed Binary dependent variable II 14 Mon Binary dependent variable III 19 Wed Instrumental variable regression I 21 Mon Instrumental variable regression II 23 Wed Instrumental variable regression III 28 Mon Experiments, Time series regression I 30 Wed Time series regression II Dec. 5 Mon Time series regression III 7 Wed Time series regression IV 12 Mon Time series regression V & exam review

11 11 12 12 12 13.1, 13.2, 14.1, 14.2 14.3 14.4, 15 15 15, 16.1 16.2 16.1 16.2

PS#6

PS#7

PS#6

PS#8

PS#7

PS#8

PS#9 PS#9

Last updated on September 6, 2011