EC3090 Econometrics Junior Sophister 20092010 Dr' Carol Newman, Dr' Gaia Narciso

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EC3090 Econometrics Junior Sophister
2009-2010Dr. Carol Newman, Dr. Gaia Narciso
Contact Details Dr. C. Newman Room 3011,
cnewman_at_tcd.ie Office Hours for MT Tues.
14.00-16.00
Web Site www.tcd.ie/Economics/staff/cnewman or www
.tcd.ie/Economics Click Staff, Click Newman,
Click on web site address, Click Teaching, Click
JS Econometrics
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Course Details

• Description
• Introduction to theory and methods of modern
  econometrics
• Michealmas Term
• 2 lectures per week
• Fortnightly labs starting MT Week 3
• Fortnightly classes starting MT Week 4
• Reading
• Wooldridge, J. (2009) Introductory Econometrics
  A Modern Approach (4th Edition), Thomson.
• Gujarati, D. and Porter , D. (2009) Basic
  Econometrics (5th Edition), McGraw-Hill.

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Course Details

• Assessment
• Problem Sets (8 in total, 4 per term) 20
• Presentation of project idea (early HT) 5
• Project (due end of HT) 15
• Final Exam 60
• Homework
• Problem sets submitted at start of tutorials
• Solutions provided during tutorials
• Best guide to exam preparation
• Labs
• Introduction to STATA 11
• Applied exercises designed to assist students in
  preparation of applied project

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Course Outline

• Part I Michealmas Term
• Statistical Review
• The Simple Regression Model
• Multiple Regression Analysis
• Inference
• Misspecification issues - Heteroscedasticity

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Course Outline

• Part II Hilary Term
• Dummy Variables and Qualitative Choice Models
• Simultaneous Equation Models
• Introduction to Time-Series Analysis
• Instrumental Variables Estimation
• Introduction to Panel Data Analysis

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Introduction

• Reading
• Wooldridge, Ch1
• Gujarati, Introduction

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Introduction

• What is econometrics?
• Set of mathematical and statistical tools which
  we use to empirically prove the existence of
  economic relationships postulated by economic
  theory
• The empirical approach
• 1. Defining the research question and
  understanding the theoretical model
• 2. Transforming the theoretical model into an
  econometric model
• 3. Using appropriate methods to accurately
  estimate the relationship between variables
• 4. Interpreting the results

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Introduction

• Step 1 Defining the research question and
  understanding the theoretical model
• Economic theory postulates interesting
  relationships between economically meaningful
  variables
• E.g. Becker (1968), model of criminal behaviour.
• Economic model e.g. demand for mobile phones
• Utility maximisation yields reduced form demand
  equation

M exp. on mobile calls PM price of mobile
calls PE price of sending email
PLL price of land line I Income Z Tastes and
preferences
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Introduction

• Step 2 Transforming a theoretical model into an
  econometric model
• Data
• Qualitative vs. quantitative data
• Proxy variables
• Functional Form
• How are variables related mathematically (i.e.
  what is f?)
• Guided where possible by theory
• Inclusion of an error term
• Variation in Y not explained by variation in X
• Controls for omitted factors, measurement error
• Example

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Introduction

• Step 3 Using appropriate methods to accurately
  estimate the relationship between variables
• What methods are appropriate for different types
  of data?
• Cross-sectional, Time-series, Pooled, Panel
• What assumptions are necessary?
• Nature of the relationship between variables
  error term
• Testing and Diagnostic Checking
• Step 4 Interpreting the results
• Estimates quantify the relationship between
  variable
• Statistical testing required to talk about
  certainty with which we can make such
  quantifications
• t-tests, F-tests, coefficient of determination
  etc.

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Introduction

• Causality
• Statistical relationships do not necessarily
  imply a causal relationship
• Causality only detectable under ceteris paribus
  conditions
• Background reading for Part I Statistical Review
• Wooldridge, Appendix B
• Gujarati, Appendix A1 to A6