NATIONAL UNIVERSITY OF SINGAPORE
Faculty of Business Administration
Department of Strategy & Policy
BSP4513 Econometrics: Theory & Practical Business Applications
Lecturer:
Associate Professor Toh Mun Heng
Office: BIZ 1 Bldg., #04-43
Email: biztohmh@nus.edu.sg
Tel: 6516-6386
Session:
Semester I 2012/2013
Course Objective & Description:
When a university graduate presents himself/herself to the business world, it
carries a pertinent and distinct advantage that he/she had done a course in
econometrics, and that is explicitly stated in his/her resume. This course to be
introduced is not about tortuous algebra and mathematical proofs but will slowly
but surely immerse students into a state of appreciation and masterly of basic skill
in data analysis, econometric evaluation and forecasting. These are essential skills
that are well appreciated and valued by 21st century knowledge based enterprises
in the digital business world. They need executives that are able to back their
research, analysis, suggestions and advice with adequate quantitative and
empirical support.
Indeed there is no mystic in econometrics, but a set of steps and tools backed by
simple and established logic of statistics, mathematics and economics, to unravel
the insights, ‘truth’ of hypotheses and useful implications, hidden in the varied
arrays of data in the digital business world. Be it that you are researching in stocks
and share ownership characteristics, commodity prices projection or forecasting
the market demand of a newly introduced product, the techniques and
methodological approaches introduced in the course will enable students to think
of and design appropriate strategies and solutions to achieve the desired
objectives.
This course has no pre-requisites. Familiarity with statistical tools such as
hypothesis testing and simple regression will be helpful. It is an applicationoriented course designed for targeted learning and rewards. Examples from
economics, finance, marketing and other disciplines will be used for exposition of
methodologies, case studies and tutorial exercises. In this module students
(organised in team of 3 or 4) will have to conduct an empirical exercise (project).
A report of the project will be submitted for assessment and also the findings will
be presented to the class during the last two weeks of the semester.
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Basic Text:
RC Hill, WE Griffiths, GC Lim(2011) Principles of Econometrics (4th ed):
John Wiley & Son.
Supplementary Texts
Gujarati D. & Porter D. (2010) Essentials of Econometrics, 4th edition, N.Y.:
McGraw-Hill. (Referenced as GP)
Christiaan Heij, P. deBoer, P.H. Franses, T. Kleok and H.K. van Dijk. (2004)
Econometric Methods with Applications in Business and Economics,
New York: Oxford University Press.
Dennis Halcoussis (2005) Understanding Econometrics, USA: Thomson*SouthWestern.
Marno Verbeek (2004) A Guide to Modern Econometrics, 2nd edition, John
Wiley.
Woolridge J.M.(2009) Introductory Econometrics: A Modern Approach,
4th edition, South-Western
Topics covered in the Course:
Topics
1
Chapter
in GP
(4th ed)
1
9
11
10
Introduction: What is meant by the Econometric
Approach?
Basic Statistical Concepts:
Probability Distributions Appendix
A and B
Basic Statistical Concepts:
Estimation & Inference Appendix
C and D
Linear Regression Model: 2 variables
2-3
Multiple Regression Model
4-5
Regression with Dummy Variables;
6
Model Selection & Specification Test
7
Multicollinearity: When Explanatory Variables have
8
relationship
Heteroscedasticty & Autocorrelation
9 – 10
Simultaneous Equation Model
11
Dynamic Models (Time Series, co-integration, ECM)
12
12
Panel Data Models
2
3
4
5
6
7
8
Chapter
in HGL
(3rd ed)
1
Appendix
A and B
Appendix
C
2-4
5 - 6.5
7
6.6
6.7; 10
8-9
11
12
15
2
Course Assessment:
Class Assignment & Attendance
Project Report and Presentation
Mid Term Test\Quiz
Final Examination (Open Book)
Total
10%
15%
25%
50%
100%
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