Econometrics

ECON-UA 266
Spring 2019

Lecture

Professor: Timothy Roeper Time: MonWed 2:00 – 3:15

Email: timothy.roeper@nyu.edu Place: 19 W 4th Street 101

Recitations

Leader: Skand Goel Time: F 2:00 – 3:15 PM

Email: sg3992@nyu.edu Place: 25 W 4th C–13
Time: F 3:30 – 4:45 PM
Place: 7 E 12 Street 123 (SB)
Leader: Shukrit Guha Time: F 9:30 – 10:45 AM
Email: sg5297@nyu.edu Place: 25 W 4th C–20
Time: F 12:30 – 1:45 PM
Place: 7 E 12 Street LL 33

Professor Office Hours

To make an appointment: Time: Tu 1-2 PM, W 3:45-5:15 PM, Th 1-2:30 PM

https://roeper-officehours.youcanbook.me/ Office: 19 W. 4th Street Room 503

Recitation Leader Office Hours

Goel TBD
Guha TBD

Important Dates:
Midterm #1 . . . . . . . . . . . . . . In class Monday, March 11th
Midterm #2 . . . . . . . . . . . . . . . . In class Monday April 29th
Final Exam . . . . . . . . . . 2:00-3:50 Wednesday May 15th

NYU Classes:
Course materials such as problem sets and answer keys will be made available via the course’s page on NYU
Classes. It is essential that you have access to NYUClasses for this course.

Office Hours:
If anything is confusing, come to office hours. If you are curious about anything we talk about in class, and
you want to learn more, come to office hours. You can simply go to the link above to see my availability
and book a time. You can also just show up to my office (see above) and see if I am free.

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Econometrics Spring 2019

Email Policy
I strongly prefer communicating in person over communicating via email. You are more likely to get a good
answer from me by asking me after class or in office hours. Having said that, email can be useful.

• Before writing me an email, do the following things:

– Check the syllabus

– Google it
– Check the textbook
– Ask a friend (this is especially true if you have recently missed a lecture)

If, after taking these steps, you still need clarification on a concept or course policy, email your TA
or me. I personally prefer answering questions in person rather than via email, so I encourage you to
come to my office hours to ask questions.

• If you email me, do not expect an immediate answer, especially if it is on the weekend or late at night.

• If you email me and I do not respond within 48 hours, feel free to email me again.

• If I receive many emails asking the same thing, I may post a class wide announcement rather than
responding to emails individually.

Textbook:
There is no required textbook. I will recommend readings from the following texts

• Intoductory Econometrics: A Modern Approach Jeffrey Wooldridge 5th-7th editions

• Introduction to Econometrics James Stock and Mark Watson, 3rd Edition

• FREE Causal Inference: The Mixtape Scott Cunningham (Link: http://scunning.com/mixtape.html)

Problem Sets
Problem sets are essential to reinforce what you learn in lecture and see if you understand the material.
You will not receive detailed feedback on each problem set, so you should check the answer key against your
own answers to identify gaps in your understanding.

• Four possible grades are possible for assignments: 0, 1, 2, and 3. 3 corresponds to a check plus or 100,
2 to a check, or 75, and 1 to a check minus or 50.

• Receiving a 3 does not mean your answers were all or even mostly right. If you get a 3,
you still need to check your answers against the answer key.

• Problem sets must be submitted electronically by 4 PM on Thursday.

• Late assignments will not be accepted.

• Study groups are encouraged! But write up your own problem set answers individually.

• I do not adjudicate individual emergencies. Every student may skip turning in an assignment once
with no questions asked. For students who turn in every assignment, their lowest grade is dropped.
If you email me saying that you cannot complete your assignment for whatever reason, I will simply
remind you of this policy.

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Econometrics Spring 2019

Midterms and Exams

There will be two midterms and a final exam. The first and second midterms are worth 25 and 30 percent
respectively, and the final exam will be worth 35 percent. Exam policies:

• There are no make-up midterms or extra credit.

• If you are not able to sit for an exam because of a medical emergency, you must provide documentation.

• If you cannot attend an exam because of a religious observance, please speak to me about it in person
as soon as possible.

Recitations
Recitations are an essential part of this course. They will be a mix of going over the answers to prior
problem sets, an opportunity to ask for clarification on things you do not understand, and learning R. The
recitations will be less structured than the course lectures and an opportunity to go into depth on things
that have been confusing.

Cell Phone Policy

• Phones should be neither seen nor heard. When I see students on the phone while I lecture, it distracts
me, and I know it distracts you. Keep your phone on silent in your bag. If you have to use your phone
because of an emergency, leave the class and deal with the emergency. Otherwise, stay in class and
keep your phone out of view of yourself, your classmates, and me.

Software
For this course, you will learn how to do some data manipulation and summarization using the R pro-
gramming language. R is a programming language designed by statisticians specifically for the purpose of
analyzing data. It is widely used by both economists and data scientists. It is free to download and use,
and being able to use R well is a valuable skill that will serve you well beyond this course.

To start using R
1. Download and install R (https://cran.r-project.org/)

2. Download and install R Studio (https://www.rstudio.com/)

3. Open R Studio and you are ready to start using R

Online Resources to learn and practice using R

• Data camp (https://www.datacamp.com/)

Course Outline
• Revew of Probability and Statistics

• Simple linear regression

• Omitted variable bias, partialing out, and multiple linear regression

• Assumptions and properties of regression

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Econometrics Spring 2019

• Hypothesis testing in Regression

• Functional form: polynomials, logarithms, dummy variables

• Interaction effects

• Other violations of the assumptions of linear regression and their remedies

• Instrumental variables

• Binary dependent variables and maximum likelihood estimation

• Time Series

• Panel data, fixed effects, difference-in-differences

• Regression Discontinuity

Academic Honesty
Copying another student’s work is not in your long-term interest since you will not learn. Even worse,
it is dishonest and unfair to your classmates. You can (and should!) consult with other students about
problem set questions and work together on figuring them out, but you should write your answers using
your own words. Lack of knowledge of the academic honesty policy is not a reasonable explanation for a
violation. Questions related to course assignments and the academic honesty policy should be directed to me.

Grading Policy
Your total score will be the weighted average of the following:

• Problem sets (10%)

• First midterm (25%)

• Second midterm (30%)

• Final exam (35%)

I try to give difficult exams which challenge everyone in the course. It is not unusual to have a class average
in the 60s or 70s on an exam. If that happens, I will curve exam scores upward with an eye towards matching
the grade distribution required by the Economics department, which is the following:

• 29% A or A-

• 40% B-, B, or B+

• 22% C-, C or C+

• 9% D or F

No extra work or additional credit can be assigned to improve your grade.

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