Introductory Econometrics

School of Humanities and Social Sciences Division of Economics Semester 1, 2012-13 HE204A/HE2004 Introductory Econometrics Course Description and Scope This course introduces some basic econometric models commonly used in applied economics. The emphasis here is on the application of the models and methods of econometrics, rather than the theory underlying them. Applications of these models to empirical examples will be illustrated with the use of the econometric package, STATA. Topics covered include: The simple and multiple linear regression models - assumptions about the disturbances, estimating and testing hypotheses about the regression coefficients, goodness-of-fit, prediction. Further topics in the linear regression model – multicollinearity, functional forms, dummy variables, linear restrictions, parameter stability. Violations of classical assumptions – heteroskedasticity and autocorrelation. Qualitative response and limited dependent variable models – the Logit, Probit and Poisson regression models. Proposed Lecture Schedule WEEK NO. 1 (Aug 13 - Aug 17) TOPIC Topic 1: THE SIMPLE REGRESSION MODEL 1.1 Ordinary least squares estimation 1.2 Properties of OLS 1.3 Units of measurement 1.4 Introduction to STATA READING Wooldridge: Chapter 2

2-5 (Aug 20 - Aug 24) (Aug 27 - Aug 31) (Sep 03 - Sep 07) (Sep 10 - Sep 14)

Topic 2: MULTIPLE REGRESSION ANALYSIS 2.1 The MLR model 2.2 OLS estimation 2.3 Properties of OLS estimators 2.4 Hypotheses testing 2.5 Testing linear restrictions 2.6 OLS asymptotics 2.7 Further issues in MLR

Wooldridge: Chapters 3 - 6

6 (Sep 17 – Sep 21)

Topic 3: DUMMY VARIABLES 3.1 Intercept dummy variables 3.2 Slope dummy variables 3.3 The Chow test

Wooldridge: Chapter 7

7 (Sep 24 - Sep 28)

Topic 4: HETEROSKEDASTICITY 4.1 Consequences of heteroskedasticity 4.2 Heteroskedasticity-robust inference 4.3 Testing for heteroskedasticity 4.4 Weighted least squares estimation

Wooldridge: Chapter 8

8 (Oct 01 – Oct 05)

RECESS...