Department of Economics Fall 2014

Harvard University
Economics 1123
Introduction to Econometrics: Syllabus
Professor: Prof. James Stoc! Department of Economics
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"#ce )o%rs: *%. 10+11! *). ,+4! and -y appointment
*eac)in. Fello/s: Jessica $aird 01alpernl2.mail.com3 + Head *F
Jo)n &o.lianese 0co.lianese2fas.)arvard.ed%3
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Peter *% 0petert%2fas.)arvard.ed%3
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7ssistant: $a%ren $a8osa! $itta%er 2,9 0larosa2fas.)arvard.ed%3
&lass time and room: *%.! *). 11:,0 + 1:00! Sever 11,
COURSE DESCRIPTION
Economics 112, introd%ces st%dents to m%ltiple re.ression and related met)ods for
analy:in. data in economics and associated disciplines. *opics incl%de: m%ltiple
re.ression! re.ression /it) discrete random varia-les! instr%mental varia-les
re.ression! analysis of random e6periments and ;%asi<e6periments! and re.ression
/it) time series data! incl%din. applications to =nancial econometrics. St%dents
/ill learn )o/ to cond%ct and criti;%e empirical st%dies. *)e co%rse emp)asi:es
empirical applications> t)e mat)ematical t)eory of econometrics /ill -e introd%ced
only as needed and /ill not -e a central foc%s. St%dents seein. a treatment of
econometric t)eory /it) a )i.)er level of mat)ematics s)o%ld tae Economics
1129. Prerequisite: Statistics 104 or e;%ivalent.
TET!OO"# RE$DIN%S# $ND C&$SS &ECTURE O'ER(E$DS
*)e te6t-oo is J.H. Stoc and '.4. 4atson! Introduction to Econometrics 0t)ird
edition3! 7ddison<4esley! 2011. 0Note: earlier editions and all international editions
printed in En.lis) are accepta-le3. 7n optional -oo! /)ic) /ill not -e %sed in
class -%t /)ic) provides a complementary! some/)at more mat)ematical
treatment t)at some st%dents mi.)t =nd )elpf%l! is J.'. 4ooldrid.e! Introductory
Econometrics! So%t)<4estern &olle.e P%-lis)in.. &omp%ter<pro1ected over)ead
lect%re slides /ill -e posted on t)e co%rse 4e- site -y ?pm t)e day -efore t)e
class.
PRO!&E) SETS
*)ere /ill -e /eely comp%ter<-ased pro-lem sets. *)e co%rse statistical soft/are
is S*7*7. 7 eyed version of S*7*7 is availa-le for do/nload from F7S @* Services.
Pro-lem sets and data /ill -e posted on t)e co%rse 4e- pa.e. Please )and in yo%r
)ome/or assi.nments at t)e -e.innin. of class t)e day t)ey are d%e.
7ssi.nments )anded in after t)is! -%t -efore ans/ers are posted /ill -e mared
do/n -y A0B. 7ns/ers /ill -e posted on t)e co%rse 4e- site immediately after t)e
ne6t class follo/in. t)e day t)at t)e assi.nments are d%e. 7ssi.nments )anded in
after t)at /ill receive no credit.
St%dents are enco%ra.ed to /or in .ro%ps on t)eir pro-lem sets! -%t eac) st%dent
m%st /rite %p )is or )er ans/ers separately. T*e ma+imum ,rou- si.e is 3.
Economics 112,! Fall 2014
Please list t)e name0s3 of t)ose /it) /)om yo% /ored on yo%r assi.nment. Please
append yo%r S*7*7 Clo.D =les to yo%r assi.nments.
2
Economics 112,! Fall 2014
%R$DIN%
Pro-lem Sets: ,0B> 'idterm E6am: 2AB> Final E6am: 4AB. @n comp%tin. yo%r total
pro-lem set .rade! t)e lo/est .rade o%t of pro-lem sets 1<(! ? and 10 /ill -e
dropped> t)e .rade on pro-lem set E cannot -e dropped and co%nts do%-le. For
-ot) e6ams! yo% /ill -e permitted to -rin. in a sin.le 0t/o<sided3 EF611 s)eet of
notes and a calc%lator> no te6t-oos! comp%ters! cell p)ones! etc. *)e sprin. and
fall semesters of t)is co%rse are .raded %sin. t)e same c%rve.
C&$SS SC(EDU&E
Readin,s: Problem
Sets:
Class
no/
Date To-ic S0 C*/ 1 Poste
d
Due
1 ?G2 *%es 8evie/ of pro-a-ility H statistics 2! ,
2 ?G4 *)%rs Iivariate re.ression H m%ltiple
re.ression @
4! A
, ?G? *%es '%ltiple re.ression @@ 9! ( PSJ1
4 ?G11 *)%rs Konlinear models @ E
A ?G19 *%es Konlinear models @@ E PSJ2 PSJ1
9 ?G1E *)%rs Konlinear models @@@ E
( ?G2, *%es Iinary dependent varia-les @ 11 PSJ, PSJ2
E ?G2A *)%rs Iinary dependent varia-les @@ 11! 7pp. 11.,
? ?G,0 *%es Panel data @ 10 PSJ4 PSJ,
10 10G2 *)%rs Panel data @@ 10
11 10G( *%es 7ssessin. re.ression st%dies H
midterm revie/
? PSJ4
10G? *)%rs )idterm E+am
12 10G14 *%es @nstr%mental varia-les re.ression @ 12 PSJA
1, 10G19 *)%rs @nstr%mental varia-les re.ression @@ 12
14 10G21 *%es @nstr%mental varia-les re.ression @@@ 12 PSJ9 PSJA
1A 10G2, *)%rs @nstr%mental varia-les re.ression @L 12
19 10G2E *%es E6periments and ;%asi<e6periments @ 1, PSJ( PSJ9
1( 10G,0 *)%rs E6periments and ;%asi<e6periments @@ 1,
1E 11G4 *%es E6periments and ;%asi<e6periments @@@ PSJE PSJ(
1? 11G9 *)%rs Forecastin. @ 14 0e6cl.
14.93
11G11 *%es No class Veterans Day 14 0e6cl.
14.93
20 11G1, *)%rs Forecastin. @@ 1A
21 11G1E *%es Dynamic ca%sal eMects @ 1A PSJ? PSJE
22 11G20 *)%rs Dynamic ca%sal eMects @@ 1A
2, 11G2A *%es Financial econometrics @ 19.A PSJ10 PSJ?
11G2( *)%rs No class Thanksgiving
24 12G2 *%es Financial econometrics @@ 19.A
12G4 *)%rs No class reading period PSJ1
0
,
Economics 112,! Fall 2014
$ast revised Septem-er 1! 2014
4