Facultatea de Științe Economice și Gestiunea Afacerilor Str. Teodor Mihali nr. 58-60 Cluj-Napoca, RO-400591 Tel.: 0264-41.86.52-5 Fax: 0264-41.25.70 econ@econ.ubbcluj.ro www.econ.ubbcluj.ro DETAILED SYLLABUS Introduction to Econometrics 1. Information about the program 1.1 Higher education institution 1.2 Faculty 1.3 Department 1.4 Field of study 1.5 Study cycle 1.6 Specialization/Program of study Babeş-Bolyai University of Cluj-Napoca Faculty of Economics and Business Administration Department of Statistics, Forecasts, Mathematics Accounting Bachelor Accounting and Management Information Systems (CIG – Romanian abbreviation) / Economist 2. Information about the discipline 2.1 Discipline title Introduction to Econometrics 2.2 The holder of the course Associate Professor Cristian activities Marius LITAN 2.3 The holder of the seminar Associate Professor Cristian activities Marius LITAN 2.4 Year of study II 2.5 Semester I ES (i.e., 2.6 Type of assessment summative examination) 2.7 Op (i.e., Discipline optional) regime 3. Total time estimated (hours per semester of teaching) 3.1 Number of hours per week 3 From which: 3.2 course 2 3.3 seminar/laboratory 1 3.4 Total hours of curriculum 42 From which: 3.5 course 28 3.6 seminar/laboratory 14 Time distribution Study after textbook, course support, bibliography and notes Additional documentation in library, on specialized electronic platforms and on the field. Preparing seminars/laboratories, essays, portfolios and reports. Tutoring Examinations Others activities................................... 3.7 Total hours for individual 58 study 3.8 Total hours per semester 100 3.9 Number of credits 4 Hour s 15 20 15 4 4 4. Preconditions (if necessary) 4.1 Of curriculum 4.2 Of skills It is not the case. It is not the case. 1 NOTE: This document represents an informal translation performed by the faculty 5. Conditions (if necessary) 5.1. For conducting the course 5.2. For conducting seminar/laboratory It is not the case. The seminars should be held in a room with computers on which EVIEWS and SPSS are installed. 6. Specific skills acquired Profess Acquiring the basic tools of econometrics plays an obvious role in the development of the following professional skills by the students (skills associated to the CIG English line of study): ional skills • The ability to complete financial reports, financial synopsis documents, reports to different authorities and financing institutions, the ability to make economic and financial analysis, summaries, economic forecasts and evaluations; • To give assistance to the management of the institution (in which the graduate activates) in the decisional process (based as much as possible on scientific arguments). Transv The courses and the seminars of econometrics play a role in the development of the following transversal skills (associated to the CIG English line of study): ersal skills - To ability to observe, explain and interpret the ideas, processes, phenomena, trends that are specific to the economic activities; the ability to provide scientific arguments regarding microeconomic and macroeconomic phenomena; - Written and oral communication for professional purposes and the ability to work efficiently in teams of complex tasks. - The ability to use software that deals with processing information, management of large databases specific to socio-economic activities. 7. Course objectives (arising from grid of specific skills acquired) 7.1 General objective of the discipline 7.2 Specific objectives The general purpose of the course is to prepare the students to apply econometric methods and procedures to any economic field, within both the academic world and the real business world. - The students should acquire the ability to construct econometric models based on the economic theory; - The students should acquire the ability to bring the econometric models to data; - The students should be able to examine the hypotheses and to validate econometric models; - The students should be able to test a theory based on the empirical estimation of the econometric model. 8. Contents 8.1 Course Teaching methods Probabilities and probability distributions (random variables; discrete classical distributions: Bernoulli distribution, Binomial distribution, Poisson distribution; continuous probability distribution: Exponential distribution, Normal distribution, Student distribution). The professor gives a talk and encourages discussions on the theme. The professor gives a talk and encourages discussions on the theme. Statistical inference (samples and sampling distributions, point estimation, convergence of random variables, confidence sets). Observati ons 1 course 2 courses 2 NOTE: This document represents an informal translation performed by the faculty The simple linear model. (specification of the model, error term, Ordinary Least Squares Method, examples of linear models, testing hypotheses, the properties of parameters estimates, test of significance of parameters estimated, analysis of variance, prediction in the simple linear model, etc) Multiple linear regression analysis. The professor gives a talk and encourages discussions on the theme. 3 courses The professor gives a (specification of the model, estimation of the parameters, test of significance of talk and encourages 3 course the estimated parameters, the coefficient of multiple determination, partial discussions on the correlation coefficient, test of the overall significance of the regression, theme. prediction in the multiple linear model, etc) The professor gives a The assumptions of the linear model on cross-section data versus the talk and encourages 1 course assumptions of the linear model with time series data. discussions on the theme. Problems with linear regression and solutions. The professor gives a talk and encourages 2 courses (multicollinearity, heteroscedasticity, correlation of the error term with the discussions on the regressors, autocorrelation, errors in variables) theme. Some aspects regarding the specification of an econometric model. Examples of econometric models. The professor gives a talk and encourages 1 course (the steps of the specification, the variables, the parameters, different kind of discussions on the models, economic theory, specification and testing of some well-known theme. econometric models) The professor gives a talk and encourages Review of the material. 1 course discussions on the theme. Bibliography: Dragos, C. Bazele econometriei si modelarii econometrice, Mediamira, Cluj-Napoca, 2007; Green, W.H. - Econometric Analysis, Ed. Pretince Hall, Londra, 1997 (or newer editions); Johnston, J., Dinardo, J. Econometric methods, Fourth Edition, McGraw-Hill Inc., Boston, 1998 (or newer editions); Maddala, G.S. - Limited-dependent and Qualitative Variables in Econometrics , Cambridge University Press, Cambridge, 1983 (or newer editions); Salvatore, D., Reagle, D. Statistics and econometrics, Second Edition, McGraw-Hill Inc., 2002, (or newer editions). 8. 2 Seminar/laboratory Teaching methods Observations Introduction to EVIEWS software, data analysis, linear model, parameters, statistical inference, modeling. Analysis of terms and 1 seminar concepts, discussions, case studies, solving exercises and real data examples, discussion of the homework projects, etc. The simple linear model in EVIEWS: design of the model, graphical Analysis of terms and 1 seminar representation, interpretation of the parameters estimates, testing concepts, discussions, case hypothesis in EVIEWS, testing the validity of the model, predictions of studies, solving exercises the model with EVIEWS. and real data examples, discussion of the homework projects, etc. The multiple linear model in EVIEWS: design of the multiple linear Analysis of terms and 1 seminar model, graphical representations, interpretation of the parameters, test concepts, discussions, case of significance of parameters in EVIEWS, partial correlation coefficient studies, solving exercises and interpretation, prediction in the multiple linear model in EVIEWS. and real data examples, discussion of the Presenting the requirements of the first homework; the project is due to homework projects, etc. the next meeting. 3 NOTE: This document represents an informal translation performed by the faculty Tests for error specification, tests for heteroskedasticity (with EVIEWS). Solutions. Analysis of terms and concepts, discussions, case studies, solving exercises and real data examples, discussion of the homework projects, etc. Tests for autocorrelation of errors (with EVIEWS). Solutions. Model Analysis of terms and specification tests (with EVIEWS). concepts, discussions, case studies, solving exercises Presenting the requirements of the second homework; the project is due and real data examples, to the next meeting. discussion of the homework projects, etc. The need for IV (instrumental variables) estimation. How can it be Analysis of terms and implemented in EVIEWS. concepts, discussions, case studies, solving exercises and real data examples, discussion of the homework projects, etc. Review problems: estimating and testing some well-known economic Analysis of terms and models. concepts, discussions, case studies, solving exercises and real data examples, discussion of the homework projects, etc. Bibliography: Dragos, C. Bazele econometriei si modelarii econometrice, Mediamira, ClujNapoca, 2007; Green, W.H. - Econometric Analysis, Ed. Pretince Hall, Londra, 1997 (or newer editions); Johnston, J., Dinardo, J. Econometric methods, Fourth Edition, McGraw-Hill Inc., Boston, 1998 (or newer editions); Maddala, G.S. - Limited-dependent and Qualitative Variables in Econometrics , Cambridge University Press, Cambridge, 1983 (or newer editions); Salvatore, D., Reagle, D. Statistics and econometrics, Second Edition, McGraw-Hill Inc., 2002, (or newer editions). http://public.econ.duke.edu/pub//burmeister/EViews/EViews_5_Users_Guide.pdf; 1 seminar 1 seminar 1 seminar 1 seminar 9. Corroboration / validation of the discipline content according to the expectations of the epistemic community representatives, of the ones of the professional associations and also of the representative employers of the corresponding program. Theoretical econometrics considers questions about the statistical properties of estimators and tests, while applied econometrics is concerned with the application of econometric methods on data in order to assess economic theories. In this context, Introduction to Econometrics is one of the main courses providing the students information on how to jointly apply economic theory, mathematics and statistical techniques for the purpose of testing hypotheses, estimating and forecasting economic phenomena. Therefore, it is a course of vital importance for the professional development of any undergraduate in any economic field that needs quantitative assessments. 10. Evaluation Type of activity 10.1 Evaluation criteria 10.2 Methods of assessment 10.4 Course The degree by which the students correctly acquired the concepts, notions and tools of basic econometrics. Written final exam. 10.3 Share in final grade 50% 4 NOTE: This document represents an informal translation performed by the faculty The ability to use these concepts, notions and tools of econometrics in financial and economic applications (i.e. practical problems, real life situations, etc.). 10.5 The degree by which the students correctly The assessment of the homework 50% Seminar/laborator acquired the concepts, notions and tools of projects. The assessment tries to y basic econometrics. measure the degree by which the students acquired the theory and The ability to use the econometrics techniques (and the specialized software) to the ability to apply it in practical examples and real life situations. solve case studies, real data examples, real The realization of the homework life economic and financial situations. projects is conditioning the Capacity to interpret the results of the econometric analysis and to take economic or obtaining of the final grade. financial decisions based on these results. 10.6 Minimum standard of performance The students should prove that acquired the concepts, notions and tools of basic econometrics above a minimal accepted level. The students should prove that have the ability to apply this knowledge to practical problems and real life situations, above a minimal accepted level. Date of filling 28.01.2015 Signature of the course professor Associate Professor Cristian Marius LITAN Date of approval by the department 06.02.2015 Signature of the seminar professor Associate Professor Cristian Marius LITAN Head of department’s signature Professor Diana Andrada FILIP 5 NOTE: This document represents an informal translation performed by the faculty