Econometrics Syllabus

Instructor
Dr. Ani Katchova (Founder of the Econometrics Academy)
Econometrics Academy website: https://sites.google.com/site/econometricsacademy/
Econometrics Academy YouTube channel: http://www.youtube.com/user/econometricsacademy/
Contact information: Use the contact section on the Econometrics Academy website

Course information
This is a semester-long graduate course in Econometrics. This course is intended for graduate students
in economics-related fields and more generally in social sciences. The information below is typically
what I include as a syllabus for the course. I modify the syllabus based on the individual needs and
preferences of different universities.

The content for the course is posted on the Econometrics Academy website and Econometrics
Academy YouTube channel. The course materials and videos are available for free to anyone in the
world who wants to learn Econometrics on their own. You may want to learn about a specific
econometric model that you need for your research or follow the entire course on my website to gain a
better understanding of applied econometrics.

The course includes an overview of the models and theory and applications using Stata, R, or SAS
programs. This econometrics class covers about 15 of the most commonly used econometric models in
economics, such as linear regression, panel data models, probit and logit models, limited dependent
variable models, count data models, time series models, and many more.

Course offerings
This course is available via several different venues:
 At the Econometrics Academy website and the Econometrics Academy YouTube channel.
You may watch a few topics or watch the entire course on your own, for free.
 As an online semester-long course (6-15 weeks) offered for credit/grade at several universities
and organizations around the world.
 Taught in person as an intense 1-2 weeks course at several universities around the world,
mostly in the summer.

Course prerequisites
A prerequisite for this course is an introductory econometrics course (understanding OLS, statistical
assumptions, etc.) and knowledge of software packages (Stata, R, or SAS). Please watch my videos on
Linear Regression and Introduction to Stata, R, or SAS if you do not have this background or you need
a refresher.

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Course topics
 Linear regression
 Panel data models (fixed and random effects models)
 Binary outcome models (probit, logit, bivariate probit)
 Multinomial and ordered models (multinomial and ordered probit and logit, mixed logit,
conjoint analysis)
 Limited dependent variable models (Tobit, truncated regression, Heckman)
 Count data models (Poisson and negative binomial)
 Survival analysis (nonparametric and parametric models)
 Spatial econometrics (spatial lag and spatial error models)
 Quantile regression
 Treatment evaluation (propensity score and difference-in-differences models)
 Instrumental variables (endogeneity & Hausman’s test, 2SLS)
 Systems of regression equations (SUR model)
 Time-series models (unit root tests, ARIMA)

Recommended but optional textbooks

Cameron, A. Colin and Pravin K. Trivedi. Microeconometrics: Methods and Applications. Cambridge
University Press, 2005.
Greene, William H. Econometric Analysis, 7th ed., Pierson Education, 2011.
Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach, 4th ed., South-Western
College, 2008.
Brook, Chris. Introductory Econometrics for Finance. 4th ed. Cambridge University Press, 2008.
Verbeek, Marno. A Guide to Modern Econometrics, Wiley, 2008.
Kennedy, Peter. A Guide to Econometrics, 6th ed, Wiley-Blackwell, 2008.

Cameron, A. Colin and Pravin K. Trivedi. Microeconometrics Using Stata, Revised Edition. Stata
Press, 2010.
Baum, Christopher F. An Introduction to Modern Econometrics Using Stata, Stata Press, 2006.
Kleiber, Christian, and Achim Zeileis. Applied Econometrics with R. Springer, 2008.
Ajmani, Vivek. Applied Econometrics Using the SAS System, Wiley-Interscience, 2009.

Course goals/objectives
The course goals and objectives are the following:
 To introduce students to frequently used econometrics models
 To develop student skills of selecting appropriate data and estimate an econometric model

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Student learning outcomes
Upon completion of this course, students will be able to:
 Identify and explain the most commonly used econometric models
 Estimate econometric model using Stata, R, or SAS and interpret the results
 Apply econometric models to particular problems

Course structure
The course will cover different econometric topics such as discrete and limited dependent variable
models, panel data models, etc. For each topic, I have prepared 1) lectures discussing model features,
assumptions, 2) examples of how econometric models need to be applied and results interpreted, and
3) Stata, R, or SAS programs with data sets to estimate econometric models.

Course assignments and grading

Homework assignments include theoretical questions and empirical estimations of the models using
software. There are typically one or two exams. I follow the grading schemes at different schools.

Course management system

I use free Google products: Gmail to communicate with students, Google Sites for course websites,
Google Drive for posting class materials, YouTube for posting videos, and Google+ hangouts for
discussion sessions. At the beginning of the course, you will need to open a free Gmail account (if you
do not have one already) and enroll in my course.

Thank you for learning Econometrics with me. Have a productive and enjoyable time!

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