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Carleton University

Department of Economics

ECON 5027 F&G

Econometrics I

Professor: Ba M. Chu 2012 Fall

Office: B-857 LoebTelephone: 613-520-2600 ext. 1546E-mail: ba_chu@carleton.caWeb: http://www.carleton.ca/~bchu(please check the course webpage regularly

everyday for course materials, assignments, and important announcements)Classes: Section F: Tuesdays, 11:35 a.m. 2:25 p.m.

Section G: Fridays, 2:35 p.m. 5:25 p.m.Office Hours: TBA

Nature of the Course:

This course covers econometric methods associated mainly with univariate and multivariateregressions. Introductory concepts related to simple and multiple regressions are assumed known.Relevant fundamentals of econometric theory underlying Generalized Least Squares (GLS) andInstrumental Variables (IV) inference are introduced, with focus on empirical applications. Thecourse will specifically consider:

The classical regression model Testing linear and non-linear constraints Basic Regression diagnostics Non-spherical regression errors (autocorrelation, heteroskedasticity (including ARCH)) Seemingly Unrelated regressions and multivariate regressions with Panel data; Lagged

Endogenous variables, unit roots and co-integration (a very preliminary introduction; adetailed treatment will be provided in ECON 5713)

Endogenous regressors and simultaneous equation systems.The inference methods covered include: Ordinary Least Squares; Generalized Least Squares;

Indirect Least Squares; Maximum Likelihood; Instrumental Variables, including Two-Stage-Least-Squares.

The course exposition is formal and technical, yet the main focus is on applicability. Thecourse includes two assignments using well known data sets and econometric problems of recentinterest in economics.

Plagiarism:

Please be aware that plagiarism is serious offence at Carleton and should be recognized andavoided. For further information on how to do so, please see Pammett on Plagiarism andParaphrasing at www.carleton.ca/economics/courses/writing-preliminaries/.

Academic Accommodation Requests:

Students may need special arrangements to meet their academic obligations during the termbecause of disability, pregnancy, or religious obligations. Please review the course outlinepromptly and write to the instructor with any requests for academic accommodation during the

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first two weeks of class, or as soon as possible after the need for accommodation is known toexist.

Students with disabilities requiring academic accommodations in this course must register withthe Paul Menton Centre for Students with Disabilities (PMC) for a formal evaluation ofdisability-related needs. Documented disabilities could include, but are not limited to,

mobility/physical impairments, specific Learning Disabilities (LD), psychiatric/psychologicaldisabilities, sensory disabilities, Attention Deficit Hyperactivity Disorder (ADHD), and chronicmedical conditions. Registered PMC students are required to contact the PMC (telephone: 613-520-6608) every term to ensure that their instructors receive their Letter of Accommodation nolater than two weeks before the first assignment is due or the first in-class test/midterm requiringaccommodations. Students requiring accommodations for their formally scheduled exam(s) onlyin this course must submit their requests for accommodations to the PMC well in advance please refer to the following link for further information:http://www1.carleton.ca/pmc/students/accommodations/.

See the Equity Services Web site at www.carleton.ca/equity/accommodation to obtain moredetailed information on academic accommodation to view the associated policies.

Texts and References:

[G00] Greene, W. H. (2000). Econometric Analysis, 4 th Edn, Prentice Hall. (A latest edition --6th

Edn -- is available.) (The 15th lecture will be based on this textbook.)[JD97] Johnston, J. and DiNardo, J. (1997). Econometric Methods, 4 th Edn, McGraw Hill.(This isthe main textbook.)[G06] Gujarati, D. N. (2006). Essentials of Econometrics, 3 rd Edn, McGraw Hill. (This textbook is

good for preliminary concepts and nice empirical applications)

Notes:

1. GRADE:

o Exam I (20%), 3 hours,(the exam date will be announced on my webpage). If a studentmisses the midterm exam for any reason, the weight (%) of the midterm will be automaticallyadded to the final exam. There will be no deferred midterm exam offered. If the mark in thefinal is higher than the mid-term, I will ignore the midterm.

o Exam II (50%), 3 hours, between December 8 and 21 (at a time and place set by theUniversity). Failure to write the final examination will result in a grade of ABS.Application to write a deferred final examination must be made at the Registrars Office.

o Assignment I (10%, individual work), due on the 4th week. Failure to hand in Assignment I

on time the deadline will be specified on the front page of the question sheet; usually, 5p.m. on the Friday of that week -- will result in a grade of zero (out of 10%).

o Assignment II (10%, individual work), due on the 8th week. Failure to hand in Assignment IIon time the deadline will be specified on the front page of the question sheet; usually, 5p.m. on the Friday of that week -- will result in a grade of zero (out of 10%).

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o Assignment III (10%, individual work), due on 13th week. Failure to hand in Assignment IIIon time the deadline will be specified on the front page of the question sheet; usually, 5p.m. on the Friday of that week -- will result in a grade of zero (out of 10%).

o For your assignments, you may use the EViews, Stata, or TSP program on the computernetwork or the RATS and CATS programs on a PC in the Economics Resource Room (C865

LA). The EViews and TSP manuals are in C865 LA and the RATS and CATS manuals fromMrs. Renee Lortie in C874 LA.

You may also use SHAZAM econometrics computer package (Ver. 10 Prof. Edition). Personalcopies of SHAZAM are available from HP 1251 (Tunnel level). The current cost is $10. Pleaserefer to the manual for the installation instruction.

Computers and printer in C865 LA are available for course work and can be accessed08:30-16:30 Monday to Friday.

Note that I will post assignments on the webpage at least two weeksbefore the due dates. Notealso that no course grades are final until approved by the Faculty Dean.

Course Structure:

Readings in applied work will be assigned as the course progresses.1) Week 1: Matrix algebra and basic statistical inference. (Ch. 2 of G00 and Appendix

A & B of JD97)2) Week 2: Classical regression model (Ch. 3 of JD97)3) Week 3: Statistical inference and basic large-sample theory (Ch. 5 of JD97)4) Week 4: Some tests of linear regression model for specification error (Ch. 4 of

JD97)5) Week 5: Heteroscedasticity and autocorrelation (Ch. 6 of JD97 and Ch. 13 G00)6) Week 6: Review Session.

7) Week 7: Mid-term exam. (TBA)8) Week 8: Heteroscedasticity and autocorrelation (contd.) (Ch. 6 of JD97 and Ch. 13G00)

9) Week 9: Generalized methods of moments (Ch. 10 of JD97)10) Week 10: Panel data (Ch. 12 of JD97)11) Week 11: Linear systems of simultaneous equations (Ch. 9 of JD97 and Ch. 15 of

G00)12) Week 12: Linear systems of simultaneous equations (contd.)13) Week 13: Final review.