Bilkent University
Department of Economics
Econometrics I
Econ 301.04
Fall 2014
F. Taskin
Office: A103
Office Hrs : Monday 13.40 -14.30
Thursday 11.00 -12.00
This course will introduce the student to the basic econometric techniques and applications. (Prerequisites are Econ
221, Econ 222, and knowledge of Math 225 subjects)
Course web page: http://taskin.bilkent.edu.tr/econ_301-14.htm (will be operational on Sept. 15)
Text:
Basic Econometrics, by D. N. Gujarati Mc Graw Hill. 5th edition. (BE)
Supplementary Text Books:
Undergraduate Econometrics by R.C. Hill, W.E. Griffiths,and G.G. Judge, 2 nd
ed. (UE)
Learning and Practicing Econometrics by W.E. Griffiths, R.C. Hill, and G.G.
Judge.
Basic Econometrics, by D. Gujarati, 2nd editions
Introduction to Econometrics, G.S. Maddala
Course Requirements and Grading:
Your grade for the course will be determined by the scores of two (in
class- closed book) midterm exams, homeworks, class participation and a comprehensive final exam. The weights
of these are as follows:
Midterm Exam I:
Midterm Exam II:
Final Exam:
Homeworks (Projects) and Class participation:
25%
25%
30%
20%
All students are expected to learn and to be able to use one statistical / econometric software package in their
empirical analysis of the homework assignments. In class you will be introduced to E-Views found in the computer
system of the university.
DURING THE SEMESTER THE TWO HOURS ON MONDAY WILL BE HELD IN BCC COMPUTER LABS.
THERE IS ATTENDANCE REQUIREMENTS IN BOTH LAB AND LECTURES.
FZ REQUIREMENT:
(1) IF YOU HAVE NOT TAKEN ONE OR BOTH OF THE MIDTERM EXAM.
(2) IF YOU HAVE NOT SUBMITTED THE FINAL PROJECT REQUIREMENT.
(3) IF YOU HAVE MISSED MORE THAN 25 % OF THE LECTURES AND LAB SESSIONS.
Midterm exam dates are as follows:
Midterm Exam I
Midterm Exam II
November 3, 2014 Monday
December 8, 2014 Monday
EACH STUDENT IS REQUIRED TO TAKE THE EXAMS ON THE PRESET DATES. UNLESS AN
AUTHORIZED HEALTH REPORT FROM THE UNIVERSITY CLINIC IS PRODUCED WITHIN 3
DAYS OF THE EXAM DATE, NO MAKE-UP EXAMINATION WILL BE ADMINISTERED. THE
MAKE-UP EXAMS WILL BE GIVEN IN THE LAST WEEK OF THE SEMESTER.
Course Outline:
1. Econometrics in Economic Analysis, (BE –Intro)
,
Week of
September 15 ,
2. REVIEW of Simple Equation Regression Model, (BE -Ch 2)
2. 1 The Statistical Model and Data
2. 2 Population Regression Function
2. 3 Stochastic Disturbance Term
2.4 Sample Regression Function
2.5 Eviews lectures
September 22
3. Multiple Linear Regression Model (BE-Ch.3, Ch.4. Ch 7)
3.1.Ordinary Least Square Method of Estimation, ,
3.2 Classical Linear Regression Model
3.3 Properties of the Least Square Method
5.2 Probabality Distribution of the Least Squares
3.4 Gauss Markov-Theorem
3.5 Goodness of Fit
September 29
4. Multiple Linear Regression Model: Inference (BE-Ch.5, 6, BE-Ch.8 )
4.1 Interval estimation
4.2 Hypothesis Testing: Single and Multiple Coefficients
4/3 Testing General Linear Hypothesis
4.4 Restricted and Unrestricted Least Squares
Oct. 6
5. Dummy Variables (BE-Ch.9)
5.1 Qualitative Effects
5.2 Seasonal, Annual Dummies,
October 13, 20
Midterm I
November 3
6. Multicollinearity (BE-Ch. 10)
6. 1 Collinearity
November 10
7. Heteroscedasticity (BE-Ch.11)
7. 1 Consequences
7. 2 Detection
7. 3 Correction
November 17, 24
8. Autocorrelation (BE-Ch.12)
8. 1 Consequences
8. 2 Detection
8. 3 Correction
December 1
Midterm II
December 8
9. Econometric Modelling: Specification and Testing (BE-Ch. 13)
9. 1 Consequences and Detection of errors in specification
9. 2 Selecting the Best Model
December 15
10. Simultaneous Equation Models(BE-Ch. 18)
10. 1 Identification, (BE-Ch. 19)
10. 2 Estimation, (BE-Ch. 20)
December 22
11. * (Tentative )Qualitative Response Models (BE-Ch. 15) / Review
11.1 Linear Probability Model
11.2 Logit, Tobit and Probit
December 29
12. Review