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
y.wei@lancaster.ac.uk
Telephone
93178
j.johnes@lancaster.ac.uk
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