Econ 228 Econometric Methods
Syllabus
Donald Cox
Spring 2016
Office: Maloney Hall Room 331
Phone: 552-3677
Email: donald.cox@bc.edu
Office hours: TTh 3:00-4:00 p.m. and by appt.
This is a basic course in econometrics that provides tools for understanding and doing
empirical research. Students will learn the basic theory and get experience working with data.
This course builds on statistics, but unlike statistics, econometrics is concerned with
relationships between variables rather than analysis of just one variable. We will learn how to
construct simple econometric models, estimate and interpret the parameters of those models.
Text:
The required text is Introduction to Econometrics, 3rd Edition, by James H.
Stock and Mark W. Watson (Addison-Wesley, 2011).
Software:
Computer software will be needed for some problem sets and the project. We
will be using Stata, a package that is versatile, powerful and popular. Stata is
available for both Windows and the Mac. More information about software is
available in a separate handout.
Prerequisites: Calculus and statistics (Econ 151, Econ 157 or equivalent).
Grading:
The course grade is based on the following:
Midterm (in class, Thursday, March 17)
Final Exam (Tuesday, May 10, 9:00-11:00 a.m.)
Research Paper (due May 5, beginning of class)
Problem Sets (seven in all, due at the beginning of class)
Lab
20 percent
35 percent
25 percent
10 percent
10 percent
No make-up or early exams will be given. Students should check their
schedules to make sure that no conflicts occur on these exam dates.
No “extensions” will be given for the research paper or problem sets.
Reading:
A tentative reading schedule is outlined on pages 2 and 3.
Required reading averages fewer than 10 pages per class, but most often you
will have to work through the material slowly and repeatedly. Sticking to the
reading schedule keeps you concurrent or ahead of the pace of the lectures.
Classes:
The lecture will begin precisely at the beginning of the scheduled class
time. All students should arrive at least 3 minutes early, so that we can start
(and end) on time. All electronic devices must be stowed during class.
Date
January
February
March
Reading
Main Topic
Things Due
19
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Introduction
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21
Ch. 1
Least squares regression
Completed math
diagnostic test due
26
Ch. 2
Basic probability
Paper—submit
names for group
28
Ch. 3
Basic statistics
Problem set #1
2
Ch. 4, sections
4.1, 4.2
Simple two-variable model
4
Ch. 4, sections
4.3-4.5
R-squared
Hypothesis testing
Problem set #2
9
Ch. 4,
appendix 4.2;
Ch. 5, sections
5.1, 5.2, 5.5
Properties of the
simple model
Paper—submit
topic (one page)
11
Ch. 6, sections
6.1, 6.2
Multiple regression
Problem set #3
16
Ch. 6, sections
6.3, 6.4
Hypothesis testing
Corrected R-squared
18
Ch. 6, sections
6.5, 6.6, 6.7
Multicollinearity
23
Ch. 5, section
5.3;
Ch. 8, sections
8.1-8.4
Non-linear functional forms
Dummy variables
25
Ch. 6,
appendix 6.1
Omitted variable bias
1
Ch. 7, sections
7.1-7.3
Joint hypothesis tests
3
Ch. 7, sections
7.4-7.7
Splines, Structural breaks
Hypothesis tests with
dummy variables
---
--Problem set #4
---
Paper—submit 1st
progress report
(2-3 pages)
--Problem set #5
15
---
Review
---
17*
---
MIDTERM EXAM
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Date
March
April
May
Reading
Main Topic
Things Due
22
Ch. 5, section
5.4
Heteroskedasticity
---
29
Ch. 9, sections
9.1-9.3
Internal/external validity
Misspecification
---
31
Ch 9, sections
9.4-9.7
Measurement error
Selection bias
Simultaneous causality
---
5
Ch. 12, sections
12.1, 12.2
Instrumental variables (IV)
Two-stage least squares
Paper—submit 2nd
progress report
(4-5 pages)
7
Ch. 12, sections
12.3, 12.4
IV assumptions
Problem set #6
12
Ch. 12, sections
12.5, 12.6
Instrument validity
---
14
Ch. 11, section
11.1
Binary-choice models
---
19
Ch. 11, sections
11.2-11.5
Binary-choice models,
continued
---
21
Ch. 10, section
10.1-10.3
Panel data
26
Ch. 10, sections
10.4-10.7
Panel data,
continued
---
28
Ch. 13, section
13.4
Natural experiments
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Problem set #7
3
---
Review
5*
---
Review
10*
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FINAL EXAM, 9:00—11:00 a.m. ---
PAPER DUE AT
START OF CLASS