ECN 522: Econometrics
Instructor: Professor Kao Time: Tue & Thurs 10-11:20
Office: Eggers 438 (443-3233) Term: Spring 2004
Office Hours: Mon and Wed 4-5
The purpose of the course is to introduce students to the field of Econometrics. It is assumed that the
student is familiar with calculus through partial differentiation and basic matrix operations. With respect to
probability and statistics, it is required that the student has had an intermediate-level course in probability
and statistics (equivalent to Ecn521
(D) Devore, J. L. 2004, Probability and Statistics, Thomson.
(W) Wooldridge, J. M. 2003, Introductory Econometrics, Thomson.
(S) Stock, J. H., and Watson, M. W. (2003), Introduction to Econometrics, Addison Wesley.
The course grade will be determined by three exams (60%), a research paper (20%) and the class
participation and presentation (20%). There will be a set of problem sets for you to practice at home and we
will discuss these questions in class.
The research paper is a case study in formulating an original econometric model; collecting relevant data;
using econometric techniques to estimate the model; and using the estimated model for economic analysis,
forecasting, and policy evaluation. The first part of the paper, the model and data as specified below, is due
Formulate the model and list data to be used. Handwriting is not acceptable. In particular, provide an
abstract; a general discussion of the scope and purpose; previous literature definitions of all variables; a
mathematical statement of the model; a discussion of its potential uses for economic analysis, forecasting,
and policy evaluation; a listing of data to be used in its estimation; and a bibliography. Maximum length: 5
pages. You are going to present first part of the paper for about 5 minutes in the class.
The complete paper, as specified below, is due 4/27.
The Final paper should be a complete paper, in the style in a scholarly journal, such as Journal of the
American Statistical Association. The paper must be typed. It should include a (separate) one-page
abstract, and an introduction, a conclusion, and a bibliography. It should contain a discussion of the model
and data, as in the 3/16 version (which can be revised); estimation parameters of the model; tests of
significance; specific use(s) of the estimated model for economic analysis, and policy evaluation; and a
general discussion of findings.
Date Topics Readings
1/13 Introduction W, Chapter 1; S, Chapter 1
1/15 1/20 1/22 1/27 Point Estimation D, Chapter 6, S, Chapters 2-3
1/29 2/3 Statistical Intervals D, Chapter 7; S, Chapter 3
2/5 2/10 Tests of Hypotheses D, Chapter 8; S, Chapter 3
2/12 Exam I
2/17 2/19 2/24 2/26 3/2 Simple Linear Regression D, Chapter 12; S, Chapter 4; W, Chapter 2
3/4 Exam II
3/6 – 3/14 Spring Breaks
3/16 3/18 3/23 3/25 Nonlinear and Multiple Regression D, Chapter 13; S, Chapters 5-6; W, Chapters,
4/1 4/6 4/8 4/13 4/15 Time Series S, Chapter 12; W, Chapter 10; M, Chapter 3
4/20 4/22 Presentation of the Final paper
4/27 Exam III