School of Economics
Course Outline 2014/15
ECON107: APPLIED ECONOMETRICS
(Attention: Since I have agreed to give a speech in an oversea conference on Nov 5-7, I
will reschedule the class in the week of Nov 3 to Sat, Nov 1, 2014. If you cannot attend
the class on Sat, Nov 1, please do not bid for my course.)
Purpose
This course aims to equip students with a basic understanding of econometric methods
and models. It is a hands-on course in which students will learn how to analyse economic
data in light of various economic theories. It emphasizes the use and interpretation of
single-equation regression techniques in formulating and testing micro, macro and
financial economic hypotheses. Cross section and time series modeling, quantitative and
qualitative choice variables, model misspecification, diagnostics and selection will be
discussed. Illustration will be given of the uses of econometrics in a variety of areas
through statistical analysis, problem solving and econometric estimation using the
software, EViews, on the computer (so everyone must have a laptop).
Objectives
This course should provide a base of understanding for students in conducting applied
econometric research, and understanding applied econometric results. These skills can be
enhanced by further econometric courses.
Outline of Topics
• Topic 1: An Overview of Regression Analysis (Studenmund, Chapter 1)
• Topic 2: Ordinary Least Squares (Studenmund, Chapter 2)
• Topic 3: The Classical Model (Studenmund, Chapter 4)
• Topic 4: Hypothesis Testing (Studenmund, Chapter 5)
• Topic 5: Specification: Choosing the Independent Variable (Studenmund, Chapter 6)
• Topic 6: Specification: Choosing a Functional Form (Studenmund, Chapter 7)
• Topic 7: Multicollinearity (Studenmund, Chapter 8)
• Topic 8: Serial Correlation (Studenmund, Chapter 9)
• Topic 9: Heteroskedasticity (Studenmund, Chapter 10)
• Topic 10: Dummy Dependent Variable (Studenmund, Chapter 13)
• Topic 11: Time Series Model (Studenmund, Chapter 12)
Instructor
Jun YU
SoE/SoSS Building, Room #5055
Email: yujun@smu.edu.sg; Tel: 6828 0858
Homepage for the course: http://www.mysmu.edu/faculty/yujun/Econ107-2014.html
Office Hours
TBA or by appointment at SoE/SoSS Building, Room #5055
TA and TA’s Office Hours
TBA
Prescribed Text
A.H. Studenmund, Using Econometrics: A Practical Guide, 6th edition, Addison Wesley,
Longman 2011. (This is the cover page of the book)
This is a required textbook. There will be regular use of this book for lectures. A useful
website related to the textbook is
http://occawlonline.pearsoned.com/bookbind/pubbooks/studenmund_awl/
In addition to the textbook, I provide a set of lecture notes, one for each chapter. These
notes can be best viewed as a condensed version of the textbook. Every week you should
read the note before you attend the lecture. Although the lecture notes are self-contained
and highly useful studying material, students will find it essential for success in the
course to regularly follow the textbook reading and applications on the topic covered. In
addition, one set of tutorial questions will be provided for each topic. The notes are
available from the course homepage.
Computing Needs
Applications require running the software Eviews which is available from SMU network
at \\fs21\Applications\PC_Software_Image\Student\EViews8).
Supplementary Books
R.R. Johnson, A Guide to Using Eviews with Using Econometrics: A Practical Guide
This guide demonstrates how to use Eviews to complete econometric analysis illustrated
in the textbook by Studenmund. It serves as an alternative to Eviews User’s Guide and is
sufficient for this course. The PDF file of this guide is available from the course
homepage. We will go over the relevant chapters of this guide during the weekly
computer sessions, so you should read the relevant chapters of the guide before you come
to the computer sessions.
D.N. Gujarati, Essentials of Econometrics, 4nd edition, McGraw Hill
Assessment
Class participation: 10% (it depends on your attendance of classes, interaction with the
professor in the classroom and the performance of in-class quiz at randomly chosen time)
Individual assignments and individual project: 30%
Group project: 25%
Final examination (2 hours): 35%
Progression
Prerequisites: Core001, Math001, and Stat101