Econometrics II, Summer 2006

ECONOMETRICS II

Petr Zemčík
Office: 302

Office hours: just drop by

Phone: (+420) 224 005 154

Teaching assistants: Konstantin Belyaev and Maksim Yemelyanau
Lectures: Room 320, Tuesday 13:30- 15:00, Thursday 10:30-12:00
Exercises: Room 320, Wednesdays, 10:30-12:00 (when announced beforehand)

COURSE DESCRIPTION

This course is a sequel to Econometrics I and assumes basic understanding of regression analysis in both cross-sectional and time series contexts. The previously acquired knowledge of econometrics will be enhanced and applied to real-world problems. Each econometric method will be motivated by a particular issue facing researchers analyzing non-experimental data. The emphasis will be on understanding and interpreting assumptions in light of actual empirical applications.

REQUIRED TEXT

Jeffrey M. Wooldridge. Introductory Econometrics: A Modern Approach. 2^nd ed, Thomson/South-Western, 2003. The web site for the textbook contains a lot of useful material: http://www.swcollege.com/bef/wooldridge/wooldridge2e/wooldridge2e.html

Specifically, we will be using the Power point slides, which are available at http://www.swcollege.com/bef/wooldridge/wooldridge2e/powerpoint.html

SUPPLEMENTARY TEXTS

Jeffrey M. Wooldridge. Econometric Analysis of Cross Section and Panel Data. Massachusetts Institute of Technology, 2002.
William H. Greene. Econometric Analysis. 5th edition, Prentice Hall, 2003.
Walter Enders. Applied Econometric Time Series.2nd edition, John Wiley & Sons.

GRADING

There will be homework assignments worth 40% of the grade, a midterm exam worth 30%, and a non-cumulative final exam also worth 30%. The homework assignments will contain a mixture of computer exercises and theoretical problems. The description of the data used in the textbook can be found in the data manual.

Homework Assignment #1: worth 10 points, due on May 30 in class

9.4; 9.8 -JTRAIN.DES (data description), JTRAIN.raw (ascii file), JTRAIN.DTA (Stata format); 13.4; 13.9 - KIELMC.DES (data description), KIELMC.raw (ascii file), KIELMC.DTA (Stata format); 13.16 - use the data from 9.8. If you have troubles getting the data from separate files, you can get the compressed version here: HW1data.zip

Homework Assignment #2: worth 10 points, due on ...
14.2; 14.3; 14.12 - MURDER.DES (data description), MURDER.raw (ascii file), MURDER.DTA (Stata format); 15.3; 15.14 - CARD.DES (data description), CARD.raw (ascii file), CARD.DTA (Stata format); If you have troubles getting the data from separate files, you can get the compressed version here: HW2data.zip

Midterm: Tuesday, June 20, 13:30-15:00, Rm 320. The midterm will be based solely on our main text, Wooldridge, Introductory Econometrics, chapters 9, 13, 14, and 15. There will be four problems worth 30 points in total. Bring a calculator and a copy of statistical tables (Appendix G, pp. 815-821). Exercise session June 28, 11:30-12:30

Make-up class: Wednesday, June 28, 10:00-11:30

Homework Assignment #3: Worth 12 points, due on Tuesday, July 11. Exercise session on Wednesday, July 12.
16.4; 16.10 - MROZ.DES (data description), MROZ.raw (ascii file), MROZ.DTA (Stata format); Derive expression 17.50 in Appendix 17A for probit and logit models (Hint: this is "a proof by a look-up," e.g. see Maddala, 1983, Limited Dependent and Qualitative Variables in Econometrics, Section 2.5); 17.1; 17.3; 17.11 - CRIME1.DES (data description), CRIME1.raw (ascii file), CRIME1.DTA (Stata format) . If you have troubles getting the data from separate files, you can get the compressed version here:HW3data.zip

Homework Assignment #4: Worth 8 points, due on Tuesday, July 18 at 10:30am, exercise session on Tuesday, July 18.
18.3; 18.10 - WAGEPRC.DES (data description), WAGEPRC.raw (ascii format), WAGEPRC.DTA (Stata format); 18.11 - HSEINV.DES (data description), HSEINV.raw (ascii format), HSEINV.DTA (stata format) - you can either use regular regresson procedures or the procedure for unit root testing dfuller; 18.14 - INTQRT.DES (data description), INTQRT.raw (ascii format), INTQRT.DTA (Stata format). If you have troubles getting the data from separate files, you can get the compressed version here:HW4data.zip

Final Exam: Thursday, July 20.

COURSE OUTLINE