Introduction to Econometrics: Syllabus

Texas A&M University Summer I 2011

Department of Economics ECMT 463-100

Instructor: Cheng, Cheng

Office: ALLN 3055
Email: chencheng4@neo.tamu.edu
Office Hours: 9:40am-11:10am (MW), or by appointment.
Classes: 8:00am-9:35am (MTWRF), ALLN 1004

Course Description
This course focuses on how to apply econometric methods to uncover the causal
relationship from economic data. Topics include the classic linear regression model
(CLM) under Gauss-Markov assumptions and other circumstances where some key
assumptions are violated (e.g., Asymptotics, Heteroskedasticity and Instrumental
Variables). Students are expected to be able to construct, estimate and analyze a linear
econometric model given a data set. The software that will be used is Stata.

Textbook
Required Textbook: 'Introductory Econometrics: A Modern Approach' (4e) by Jeffery
Wooldridge. This book is accompanied with great data sets which you can find on the
author’s website, and you are highly recommended to replicate the examples and do
the computer problems as much as you can.

Lecture Notes: They will be handed out in class and act as complements to
Wooldridge with extra explanation and modification that I believe are important.

Reference Books:
(1) 'A Guide to Econometrics' (6e) by Kennedy.
This book is quite intuitive, even though the notation somewhere is different from this
course (we will not use matrix notation!). We will not follow this book, but you can
always check back to get some warm interpretation if the math formula are too cold!
(2) 'An Introduction to Modern Econometrics Using Stata' by Baum.
(3) 'Microeconometrics Using Stata, Revised Edition' by Cameron & Trivedi.
A Primer on Stata will be uploaded in Elearning, which contains basic commands for
this course. If you want to learn more about Stata, (2) & (3) are a good start.

All books are reserved in PSEL.

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Lectures
The minimum requirement of this course is that you can use Stata to answer an
empirical question. This is not hard in terms of running a series of simple codes, but
to do that efficiently and correctly some knowledge of the underlying theory is
necessary. Thus in my lectures I will try to strike an appropriate balance between them.
You are presumed to get exposed to the contents in Appendix A, B, and C (calculus,
probability and statistics).

Homework
I will give you the homework when I start a new chapter (may add others if
necessary) and you can work on those problems along the way. Each homework is
normally due two days after I finish the corresponding chapter.
Late submission is not acceptable as I will post the solutions the day it is due.
You are encouraged to discuss with your classmates but should finish the
homework independently. Directly copying from others significantly lowers the return
of your investment in this course!

Exams
Midterm: June 14 (T), class time. (June 20: last day for Q-drop)
Final (comprehensive): July 5 (T), 8:00am-10:00am.
No make-up exams for missed exams without a university-approved excuses.

Grading
Homework (25%) + Midterm (35%) + Final (40%)
The total will be converted to a 100-point system:

Grade Converted Points

A 90 or more
B 80 or more, but less than 90
C 70 or more, but less than 80
D 60 or more, but less than 70
F less than 60

Outline
1. Basics
Chapter 1. The nature of econometrics and economic data
Chapter 2. The simple regression model
Chapter 3. Multiple regression analysis: estimation
Chapter 4. Multiple regression analysis: inference

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2. Further topics
Chapter 6. Multiple regression analysis: further issues
Chapter 7. Multiple regression analysis with qualitative information

3. Important empirical issues

Chapter 5. Multiple regression analysis: OLS asymptotics
Chapter 8. Heteroskedasticity
Chapter 9. More on specification and data issues
Chapter 15. Instrumental variables estimation and two stage least squares
Chapter 12. Serial correlation (tentative)

4. Advanced topics (tentative)

Chapter 13. Pooling Cross Sections across time: simple panel data methods
Chapter 14. Advanced panel data methods
Chapter 17. Limited dependent variable models

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