UNIVERSITY OF SAN FRANCISCO - SPRING 2017

ECON 320.01 INTRODUCTION TO ECONOMETRICS

KA 267, MWF 11:45-12:50

Instructor: Michael Jonas Office Hours: MWF 2-3pm, and by appt.

e-mail: mrjonas@usfca.edu Office: CO 425, Phone: x6160
TA: Ting Yi (Kate) Wu (twu31@dons.usfca.edu) TA Hours: TBA

Scope and objectives

This class provides both theoretical and practical tools for applying economic theory and models to real economic data. We use
statistical tools to relationships among variables; by doing so, we are able to confirm or refute whether the economic theory or
model actually operates in the real world. By the end of this class you should have a solid understanding of many (but certainly
not all) important concepts and theories in econometrics. Also, you should have a command of at least one statistical software
package and be able to do independent research using economic data.

Required Materials: Using Econometrics: A Practical Guide 6th Edition, by A.H. Studenmund.

Stata 14 (Small Version) Order here:

http://www.stata.com/order/new/edu/gradplans/course-pricing/

If you plan to take Econ 425 in the Fall, purchase the one year license, otherwise, the 6 month Small Stata 14
will be fine. Note that Stata is also available on the desktops in KA 261.

Grading: The grades will be determined in the following way:

8 problem sets 20% Total (lowest score is dropped)

8 quizzes 20% Total (lowest quiz is dropped)
One midterm exam 20%
Comprehensive final exam 20%
Group Project and Presentation 20%

Letter Grade Scale: 0-55% = F, 56%-66%=D, 67-70%=C-, 71-76%=C, 77-79%=C+, 80-82%=B-, 83-86%=B, 87-
89%=B+, 90-92%=A-, 93-100%=A.

Homework: Due to the nature of the course, homework assignments are necessary to enhance your understanding of the material
covered in class. The assignments will ask you to (1) work through some statistical theory and /or (2) estimate and evaluate
econometric models with a given data set. Problem Sets may be completed in groups of 2-3 students.

Problem sets will be graded on a percentage scale, answer keys will be provided, and sufficient class time will be devoted to going
over the questions. Late Assignments are not accepted.

Quizzes: Short (10-20min) quizzes will be conducted at the beginning of class on the day each problem set is due. The quizzes
will cover the same material as found on the problem sets. No make-up quizzes will be given.

Project: You will be required to complete a work of original empirical research. You will be able to work in a group of 2-3, and
will be required to present your findings to the class on the final day of the semester. Details to follow.

THERE WILL BE NO MAKEUP QUIZZES OR EXAMINATIONS. Exam dates (and due dates for all materials) are given in the calendar.
This is to avoid any potential conflicts. If you have a conflict, you need to see me on the first day of class.
If you miss the final for a verifiable and acceptable excuse, then you will be given an incomplete for the course.
Attendance is not mandatory, but you are responsible for all information presented during class. Make sure that you are
able to get the notes and handouts from any classes that you miss from a fellow student, as I will not be handing out or posting all
lecture notes.

Policies
1. Academic honesty is expected. You will receive a mark of zero on any work in which cheating occurs, this policy applies to
examinations and quizzes. All exams and quizzes are closed note.
2. Come to class on time. If you come late on the day of a quiz or exam, you will not be given extra time.
3. Please keep your cell phones etc. off during class.
Course Outline
Part I: Basic Model
1. Chapter 1: Introduction to OLS and the Simple Regression Model.
2. Chapter 16: Statistical Principles
3. Chapter 2: OLS Multiple Regression.
4. Chapter 3: Applied Techniques I.
5. Chapter 4: Classical Regression Model
6. Chapter 5: Hypothesis Testing.
Part II: Violations of the Classical Assumptions
7. Chapter 6: Specifying your model.
8. Chapter 7: Functional Forms.
9. Chapter 8: Multicollinearity.
10. Chapter 9: Serial Correlation.
11. Chapter 10: Heteroskedasticity.
12. Chapter 11: Overview of basic model and practical guide.
Part III: Extensions to the Basic Model
13. Chapter 14: Simultaneous Equations.
14. Chapter 12: Time Series
15. Chapter 13: Binary dependent variable models.
16. Chapter 15: Forecasting

Calendar

Date Assignment Date Assignment

Wed, Feb. 1st PS 1, Quiz 1 Wed, March 29th PS 5, Quiz 5
Wed, Feb. 15th PS 2, Quiz 2
Mon, Feb 20th PRES DAY NO CLASS Wed, April 12th PS 6, Quiz 6,
Wed, March 1st PS 3, Quiz 3 Friday, April 14th No Class Easter
Wed, March 8th PS4, Quiz 4 Wed, April 26th PS7, Quiz 7

Friday March 10th Midterm Exam Wed, May 10th (last day of class) PS 8, Quiz 8
March 13th - 17th SPRING BREAK Fri, May 12th Research Paper Due

SAT, May 13th 12:30-2:30 Final Exam

USF final exam schedule https://myusf.usfca.edu/onestop/registration/spring-final-exam

Note: Aside from the final exam date and time, I reserve the right to alter this schedule during the semester. All exams are
cumulative. Of course, new material covered since the last exam will be emphasized, but you are responsible for all the material.

Some Warnings, Advice and Hints:

1. If you are having problems, please seek out help early. Come in prepared, having gone over the lectures, text, and problems in
the text. If you have missed any classes, make sure you have copied the missed notes from classmates. In cases like this, it usually
pays to get the notes from at least two of your class mates.
2. Some students slack off. Econometrics is a very demanding course even though I keep the coverage minimal. The only way to
learn it is to keep going over it, work the problems in your text, and THINK about what you are doing at each step. I suggest that
you first read through the entire book. This will help you to begin to think about econometrics. Go over the lectures and think
about what problems I raise and what problems are raised in the book. Furthermore, let me urge you to read as much of the
material as possible early on in the course. You will find this will help you develop a perspective on the course material and lead to
a better understanding of econometrics. Also it is essential to have a command of the statistical package Stata to complete this
course successfully. Be familiar with the program as soon as possible. Knowledge about the statistical package will not only help
your problem sets during this semester but also your future job search or higher education in graduate or professional schools.
3. Do not wait until after I have lectured on something to read the material, work on it yourself. Come to class prepared!
4. The emphasis in this class is on developing your ability to apply analytical techniques and on your understanding of
fundamental concepts. Exams will emphasize this. They will assume you have a complete understanding of the lectures and text,
and will ask you to apply what you have learned to "new" circumstances.
5. The course material builds on earlier work. It is essential that you master every part of the material. I will integrate the material
as we go along, but you will be ahead of the game if you make extended efforts to learn and integrate it yourself.
 Guidelines for Research Project

1. Pick a topic that interests you and for which there is data and a testable hypothesis. I will provide several datasets
which can be used as the basis for your project, but I encourage you to find you own.
2. You will need at least 4 variables with at least 50 observations each in your model (More is better in both cases).
3. Your final paper should include each of the following elements:
a. Introduction with a statement of your hypothesis and brief theoretical foundation.
b. An explanation of your data: sources, basic descriptive statistics, and any transformations.
c. Your proposed regression equation with clear economic interpretations for each coefficient, along with the
expected signs.
d. Regression results that include the Stata output, summary of goodness of fit and statistical significance of your
coefficients. Do the results match your expectations?
e. Results and explanations of test for serial correlation (Durbin-Watson).
f. Results and explanations of test for heteroskedasticity (White or Park).
g. Results and explanations of test for joint significance of two independent variables.
h. Comment on possible effects of multi-collinearity on your results.
i. Results and explanations of test for endogeneity of at least one independent variable.
j. Conclusion.

Overall, your paper should be at least ten pages in length, including results, tables, graphs, and text. Be sure to site any references
that you use.

Guidelines for Problem Sets

1. Problem sets are due at the beginning of class on the date specified. No late assignments will be accepted. If you
have to miss a class, you can email your assignment as an attachment any time before the start of class for full credit.
Files must be either .doc or .pdf formats, and be named in the following manner: econ320ps1group1 or
econ320ps1smith.

2. You can work together in groups of 2-3 people, and turn in one problem set per group. Keep in mind, of course, that
the quizzes will represent your own work, so it doesnt pay to be a free rider.

3. Data files for problem sets will be available on the Canvas site for this course. Please make sure that you have access
to this site, and let me know as soon as possible if any problems arise.

4. Your grade on the problem sets will be largely determined by the amount of effort you put in. Answer every question
to the best of your abilities, and you will do just fine. Points are deducted for wrong answers, but credit is always
given for trying.

5. Points can be deducted for sloppy or un-readable work. Put some effort into making your work presentable.
Think about each problem set as a report that you have to give to your boss if he or she cant follow your logic or
doesnt know what problem you are addressing, your report is worthless.

6. When presenting Stata output, copy and paste it into MS Word, and type your explanations and related answers in the
same document. Only turn in relevant results, and make it readable.

7. Show all of your work for any calculations or mathematical manipulations. Math work can be handwritten.