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Department of Economics Economics 212: Introduction to econometrics Lent term 2002 Prerequisites This half unit course is available to the following students: (a) (b) those who have completed ECON 210 or those with A level Statistics, A level Mathematics or A level Pure Mathematics & Statistics Course Structure The course consists of two weekly lectures and a one hour tutorial per week. The lectures begin in the first week of term and are on: Tuesday 9am -10am in Fylde LT 1 Thursday 12-1pm in Fylde LT 1 Tutorial times are given on the Economics notice board outside B34 and all students registered for the course should sign up for one of these. Tutorials also begin in week 1. In addition, there are three MINITAB workshops in Lent term weeks 3, 5 and 7. The details for these workshops are given on the notice board outside B34 and all students registered for the course should sign up for one of these. The lecturers/tutors for the course and their contact details are given below: Weeks 1-5 Weeks 6-10 Lecturer Dr Annie Wei Dr Jill Johnes Office Hours Wednesday 11-1 MS B40 Thursday 11-12 MS B33 e-mail [email protected] Telephone 93178 [email protected] 94224 Assessment There are three pieces of coursework comprising two 50 minute tests and a group project. The tests will be held in George Fox LT 5/6 on the following dates: Thursday Lent term week 4 at 12-1pm Thursday Lent term week 8 at 12-1pm The group project will involve the use of the statistical package MINITAB. You will be assigned to project groups during the first tutorial. The average of all three pieces of work will be used as the coursework mark. The final examination for ECON 212 will be held in June 2001. The final mark for the course is a weighted average of coursework (one third) and final exam (two thirds). Textbooks The main textbook for the course is: Paul Newbold (1995) Statistics for Business and Economics. 4th edition, Prentice Hall. Students who have completed ECON 210 should already have this book. Those who do not have a copy should buy one immediately as it will be used every week in tutorials. Please note that it is important to purchase the fourth edition. You may find the following usefulas alternative references: A H Kvanli, R J Pavur & C S Guynes (2000) Introduction to Business Statistics Thomson Learning - this is particularly good for its Minitab applications J T McClave, P G Benson & T Sincich (2001) Statistics for Business and Economics Prentice Hall - this is good for its case studies using the various techniques R S Pindyck & D L Rubinfeld (1991) Econometric Models and Economic Forecasts McGraw-Hill D N Gujarati (1995) Basic Econometrics McGraw-Hill R L Thomas (1985) Introductory Econometrics: Theory and Applications T Ryan, B Joiner and B Ryan (1985) MINITAB Student Handbook. Duxbury R B Miller (1988) MINITAB Handbook for Business and Economics. PWS Kent. Copies of these books are available in the library on short loan. Useful references to alternative texts will be made available during the course or on request. Copies of the lecture slides for the course are available from the following websites: http://www.lancs.ac.uk/people/weia http://www.lancs.ac.uk/people/ecajj lectures 1-5 lectures 6-10 Course Outline Week Topic Reference 1 Linear correlation Newbold Ch 12 2-3 Simple linear regression; least squares estimation; standard assumptions; Gauss-Markov Theorem; explanatory power; confidence intervals and hypothesis tests; prediction. Newbold Ch 12 Week Topic Reference 4-5 Multiple regression; least squares assumption; Gauss-Markov Theorem: explanatory power. Newbold Ch 13 6-7 Topics related to multiple regression; dummy Newbold Ch 14 variables; lagged dependent variables; non-linear models; specification bias; multicollinearity; heteroscedasticity; autocorrelated errors; normality of errors. 8 Simultaneous equation models; structural and Lecture notes plus reduced-form equations; identification; additional references instrumental least squares; two stage least squares. 9-10 Time series analysis; components of a time series; Newbold Ch 17 moving averages; extracting the seasonal component through moving averages; simple exponential smoothing; autoregressive models; stationarity; unit root tests; intoduction to cointegrated time series. Each week, the tutor will set questions (from the list below) to be completed for the following week. Answers will be provided during tutorials. Topics Chapter Exercises Linear correlation Simple linear regression Multiple regression Topics related to multiple regression Simultaneous equation models Time series analysis 12 1,2,6,9 12 13,17,29,33 13 1,5,8,9,14,21,33,35 14 7,15,31,33,37,45 Questions to be distributed 17 15,19,23,35,41,43,59 You may also be asked to complete additional problems during tutorials. You must attempt even-numbered problems (for which answers are provided at the back of the book) in your own time. If you have difficulty with any of these, please bring them along to the tutorial or arrange an appointment with your tutor for help. Jill Johnes Annie Wei December 2001