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Contact Details: Dr. C. Newman Room 3011, cnewman@tcd.ie Office Hours for MT: Tues. 14.00-16.00 Web Site www.tcd.ie/Economics/staff/cnewman or www.tcd.ie/Economics Click Staff, Click Newman, Click on web site address, Click Teaching, Click JS Econometrics
Course Details
Description:
Introduction to theory and methods of modern econometrics Michealmas Term:
2 lectures per week Fortnightly labs starting MT Week 3 Fortnightly classes starting MT Week 4
Reading:
Wooldridge, J. (2009) Introductory Econometrics: A Modern Approach (4th Edition), Thomson. Gujarati, D. and Porter , D. (2009) Basic Econometrics (5th Edition), McGraw-Hill.
Course Details
Assessment:
Problem Sets (8 in total, 4 per term) 20% Presentation of project idea (early HT) 5% Project (due end of HT) 15% Final Exam 60%
Homework:
Problem sets submitted at start of tutorials Solutions provided during tutorials Best guide to exam preparation
Labs:
Introduction to STATA 11 Applied exercises designed to assist students in preparation of applied project
Course Outline
Part I Michealmas Term
1. 2. 3. 4. 5. Statistical Review The Simple Regression Model Multiple Regression Analysis Inference Misspecification issues - Heteroscedasticity
Course Outline
Part II Hilary Term
1. 2. 3. 4. 5. Dummy Variables and Qualitative Choice Models Simultaneous Equation Models Introduction to Time-Series Analysis Instrumental Variables Estimation Introduction to Panel Data Analysis
Introduction
Reading
Wooldridge, Ch1 Gujarati, Introduction
Introduction
What is econometrics?
Set of mathematical and statistical tools which we use to empirically prove the existence of economic relationships postulated by economic theory
Introduction
Step 1: Defining the research question and understanding the theoretical model
Economic theory postulates interesting relationships between economically meaningful variables E.g. Becker (1968), model of criminal behaviour. Economic model e.g. demand for mobile phones Utility maximisation yields reduced form demand equation:
M = f ( PM , PT , PE , PLL , I , Z )
M: exp. on mobile calls PM: price of mobile calls PE: price of sending email PLL : price of land line I: Income Z: Tastes and preferences
Introduction
Step 2: Transforming a theoretical model into an econometric model
Data Qualitative vs. quantitative data Proxy variables Functional Form How are variables related mathematically (i.e. what is f?) Guided where possible by theory Inclusion of an error term Variation in Y not explained by variation in X Controls for omitted factors, measurement error Example
Introduction
Step 3: Using appropriate methods to accurately estimate the relationship between variables
What methods are appropriate for different types of data? Cross-sectional, Time-series, Pooled, Panel What assumptions are necessary? Nature of the relationship between variables error term Testing and Diagnostic Checking
Introduction
Causality
Statistical relationships do not necessarily imply a causal relationship Causality only detectable under ceteris paribus conditions
Background reading for Part I: Statistical Review Wooldridge, Appendix B Gujarati, Appendix A1 to A6