SYLLABUS
ECO 531: Advanced Econometric Models and Applications
Spring 2014
“Research is not good simply because it is mathematical or statistical, or because it makes use of
ingenious machines. Research is good if it is significant, if it is fruitful, if it is consistent with
established principles, or if it helps to overthrow erroneous principles”
Henry Schultz, “Statistics in Economics,” Report of the Fourth Annual Research Conference on
Economics and Statistics, Colorado Springs: The Cowles Commission, 1938, p.84
Time/location:
Tuesday and Thursday; 12:30-1:45 AM
Winslow 201
Prerequisites:
ECO530 or permission.
Instructor:
Hsiang-tai Cheng, Associate Professor
School of Economics
Office: 200 Winslow Hall
Phone: 581-3155
Email: hsiang-tai.cheng@umit.maine.edu
Office hours: Monday and Wednesday 9:00-11:00 am.
(Please email me to make an appointment)
Course Description:
The course provides an introduction to econometric techniques commonly used
in applied micro-economics research. The course emphasizes applications by
linking theoretical textbook readings on techniques with journal articles
featuring applications of these techniques. The course provides students with
applied econometrics research experience.
Expected Learning Outcomes:
Upon successful completion of this course, students will be able to:
(1) Understand how applied econometric techniques are used to test and
advance economic theory;
(2) Effectively apply the contemporary econometric techniques covered in this
course;
(3) Conduct econometrics analysis and make inference
Prerequisites:
ECO 530 is a formal prerequisite. Students should have a good
understanding of probability, statistics, calculus, matrix algebra.
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Textbooks:
Greene, W. H., Econometric Analysis, 7th ed., Prentice Hall, 2012.
Griffiths, W. E., R. C. Hill, and G. G. Judge. Learning and Practicing
Econometrics. New York, NY: John Wiley & Sons, 1993. (GHJ)
Kennedy, Peter. A Guide to Econometrics, 6th ed. Malden, MA: Blackwell,
2008. (K)
Additional Readings:
Readings will be assigned from the course texts and professional applied
economics and statistical journals.
Software:
LIMDEP will be the primary course software packages.
Reading Assignments:
Students are expected to have completed the assigned reading prior to lecture.
Homework Assignments:
Homework assignments will involve applied econometrics research. These
assignments require computer programming, analytical thinking, and
communication skills. Late homework assignments will receive a grade of 0
(see absence/tardiness policy below for exceptions).
Grading:
Letter grades will be assigned based on the following class work: homework
assignments (40%), Exam #1 (20%), Exam #2 (20%), and Exam #3 (20%).
Homework assignments will be weighted equally.
Letter Grades:
A 90% - 100%
B 80% - 89.9%
C 70% - 79.9%
D 60% - 69.9%
F < 69.9%
Class Attendance Policy:
You are expected to attend all class sessions and to be prepared for class.
Absence/Tardiness Policy:
If a student wishes to receive credit for a late homework, its tardiness must be
authorized. If illness is the reason for a late homework, please submit written
documentation of this illness from the health center or a doctor to the
instructor.
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Disability Policy:
If you have a disability for which you may be requesting an accommodation,
please contact Ann Smith, Director of Disability Services at in East Annex 123,
581-2319, as early as possible in the term.
In the event of disruption of normal classroom activities due to an H1N1 swine
flu outbreak, the format for this course may be modified to enable completion
of the course. In that event, you will be provided an addendum to this syllabus
that will supersede this version.
Tentative Course Outline
(Note that this is tentative and may be revised as semester progresses. Extra
references will be provided in class)
1. Linear Regression Model Review & Using Limdep
Kennedy, Peter E., “Sinning in the basement: what are the rules? The
ten commandments of applied econometrics”, Journal of Economic
Surveys, 2002, (16)4: 569-589 (Kennedd2002.pdf)
Greene, W.H., Limdep version 9 Student Reference Guide. (LIMDEP.pdf)
2. Panel Data
Greene. Chapter 11 (11.1,11.2,11.4,11.5).
Yaffee, R. 2003, “A Primer for Panel Data Analysis” Social Sciences,
Statistics & Mapping, NY University, Information Technology
Services. (YAFFEE.PDF)
(http://www.nyu.edu/its/pubs/connect/fall03/yaffee_primer.html)
List, J.A, and W.W. Mchone. 2000. Ranking State Environmental
Outputs: Evidence from Panel Data, Growth and Change, 31(1): 2339. (LIST.PDF)
3. Nonlinear Least Squares and Maximum Likelihood Estimation
Griffiths, Hill, and Judge, Learning and Practicing Econometrics, 1992:
Chapter 22
Habb, T.C. and K.E. McConnell, Maximum Likelihood Estimation, in
Valuing Environmental and Natural Resources: The Econometrics of
Non-Market Valuation, Appendix A. (habb & mccornnel appa.pdf)
4. Dichotomous Choice (Binary Probit and Logit)
Greene, Chapter 17: 17.1-17.3.4
K: Chapter 16, section 16.1
Cheng, H., A.S. Kezis, S.R. Peavey, and D.A. Smith, 1990, Factors
Affecting Consumer Purchase Decision for Round White Potatoes,
American Potato Journal, Vol. 67, 719-726.
Govindasamy, R., and R.M. Nayga, Jr. 1997. Determinants of Farmerto-Consumer Direct Market Visits by Type of Facility: A Logit
Analysis, Agricultural and Resource Economics Review, 31-38.
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Exam #1 (TBA): Topics 1, 2, 3, and 4
5. Polychotomous Choice (Multinomial Probit/Logit, Conditional Logit)
Greene, Chapter 18: 18.2
K: Chapter 16, section 16.2
Cheng, H., G.K. Criner, and A.S. Kezis, 1996. The Impact of Consumer
Characteristics on Preferences for Selected Apple Varieties, Journal
of Food Distribution Research, 3(4):1-11.
Cooper, J.C. 2003. A Joint Framework for Analysis of Agrienvironmental Payment Programs, American Journal of Agricultural
Economics 85(4): 976-87.
Choo, S. and P.L. Mokhtarian . 2004. What Type of Vehicle Do People
Drive? The Role of Attitude and Lifestyle in Influencing Vehicle
Type Choice, Transportation Research: Part A: Policy and Practice
38(3): 201-22.
Davies, P.S., Greenwood, M.J., and L. Haizheng. 2001. A Conditional
Logit Approach to U.S. State-to-State Migration, Journal of
Regional Science 41(2):337-360.
6. Polychotomous Choice (Ordered Response Model)
Greene, Chapter 18: 18.3.
K: Chapter 16, section 16.3
Markiewicz, A. 2006. Choice of Exchange Rate Regime in Transition
Economies: An Empirical Analysis, Journal of Comparative
Economics 34(3): 484-98.
Fong, C. 2001. Social Preferences, Self-Interest, and the Demand for
Redistribution Fong, Christina, Journal of Public Economics 82( 2):
225-46.
Exam #2 (TBA): Topics 5 and 6
7. Count Data Models
Greene, Chapter 18: 18.
K: Chapter 16, section 16.4
Gabe, T.M. 2005. The Effects of Industry Instability on Sector Entry:
The Case of Maine. The Review of Regional Studies 35(1): 64-79.
Englin, J., Holmes, T., and R. Niell. 2006. Alternative Models of
Recreational Off-Highway Vehicle Site Demand, Environmental and
Resource Economics 35(4): 327-38.
8. Limited Dependent Variables (If time permits)
Greene, Chapter 19
Exam #3 : Topics 7 and 8. Thursday, May 8, 8:00AM-10:00AM
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