Economics 380
Spring 2002
Applied
Econometrics and Economic Modeling
General Information
Instructor: Robin Sickles
Office: Baker Building 246
Phone: 717 348-3322
email: rsickles@rice.edu
Office Hours: MW 3-4 or by appointment
Required Textbook
Managerial Statistics, S. Albright, W. Winston, C. Zappe, Duxberry
Press, 2000.
Using Econometrics, A Practical Guide,
A. Studenmond, 4th Edition, 2001
Recommended Textbooks
Introductory Econometrics with Applications, 4th edition, R. Ramanathan, Dryden Press, 1998.
Managerial Economics: Applications, Strategy, and Tactics, 8th
edition, J. McGuigan, R. Moyer, and F. Harris, South-Western College
Publishing, 1999..
Course Objectives
Understanding of basic econometric principals and their use in estimating
economic relationships such as demand and supply, in forecasting economic
phenomenon such as stock prices, GNP, etc., and in general modeling
applications. We also will study
efficiency measurement in production using linear programming methods (activity
analysis), portfolio decision-making (financial engineering) and empirical
approaches to analyzing litigation strategies in discrimination and antitrust
cases. Emphasis will be on
applications using such programs as and ECSTAT (Studenmond), EXCEL (Abright et
al.) SAS, ESLWIN (Ramanathan). Two
class days a week (Monday and Wednesday) will be devoted to lectures on new
material while the third class (Friday) will be a computer laboratory in which
students will apply concepts learned during the week. Monday and Wednesday classes will be in Baker Hall while the
Friday computer labs will be in the Mudd Building Computer Lab 104.
Grading Policy
The final grade will be based on a midterm exam (25%), application exercises
primarily conducted in the Friday computer laboratory (15%), pop quizes (10%),
an empirical project whose topic will be decided by the student in consultation
with the instructor (25%), and final exam (25%)
Course Outline
January 14 Introduction
(S 1; R 1; AWZ 1)
January 16 Review
of Probability and Statistics (S 5; R 2; AWZ 2-10)
January 21 Martin Luther King Holiday
January 23 Review
of Probability and Statistics (S 5; R 2; AWZ 2-10)
January 28 Review
of Probability and Statistics (S 5; R 2; AWZ 2-10)
February 4 Simple
Regression (S 2; R 3; AWZ 13; GWH 5)
February 6 Multiple
Regression (S 3; R 4; AWZ 13; GWH 5)
February 11 Multiple
Regression (S 4; R 4; AWZ 13; GWH 5)
February 13 Multicollinearity
(S 8; R 5; AWZ 14; GWH 5)
February 18 Functional
Form and Model Selection (S 7; R 6; GWH 5)
February 20 Problems
of Misspecification (S 6; R 8, 9; GWH 5)
February 22 Computer Lab
February 25 Distributed Lag Models (S 12; R 10)
February 27 Mid-term exam
March 1 Computer Lab
March 4-March 8 Mid-term recess
March 11 Simultaneous
Equations (S 14; R 13; GWH 6)
March 13 Carrying
out an Empirical Project (R 14; AWZ 17)
March 18 Carrying
out an Empirical Project (R 14; AWZ 17)
March 20 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 22 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 25 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 27 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 29 Spring recess
April 1 Activity Analysis (GWH;
Handouts: DEAP
manuals, DEAP
program )
April 3 Activity Analysis (GWH; Handouts)
April 5 Activity Analysis (GWH; Handouts)
April 8 Activity Analysis (GWH; Handouts)
April 10 Activity Analysis (Handouts)
April 12 Activity Analysis (Handouts)
April 15 Financial Engineering (GWH 17 A, 19, 20; DEAP
program,
DEAP manuals)
April 17 Litigation
Support-Antitrust and Litigation Support-Discrimination.
April 19 Litigation
Support-Antitrust and Litigation Support-Discrimination.
April 22 Litigation
Support-Antitrust and Litigation Support-Discrimination.
April 24 Empirical
Analysis in Litigation Support (GWH 18)
April 26 Empirical
Analysis in Litigation Support and LAST DAY OF CLASSES (GWH 18)
Lecture
Notes
Computer
Lab Solutions
Lab #5a (February 23)
Lab #5b
Lab#5c
Lab#7 (March 16)
(see R pages: 636-639)
Lab#10(April 6)
Quiz and Exam Solutions
Other
Links
Spring 2002
Applied Econometrics and Economic Modeling
General Information
Instructor: Robin Sickles
Office: Baker Building 246
Phone: 717 348-3322
email: rsickles@rice.edu
Office Hours: MW 3-4 or by appointment
Required Textbook
Managerial Statistics, S. Albright, W. Winston, C. Zappe, Duxberry Press, 2000.
Using Econometrics, A Practical Guide, A. Studenmond, 4th Edition, 2001
Recommended Textbooks
Introductory Econometrics with Applications, 4th edition, R. Ramanathan, Dryden Press, 1998.
Managerial Economics: Applications, Strategy, and Tactics, 8th edition, J. McGuigan, R. Moyer, and F. Harris, South-Western College Publishing, 1999..
Course Objectives
Understanding of basic econometric principals and their use in estimating economic relationships such as demand and supply, in forecasting economic phenomenon such as stock prices, GNP, etc., and in general modeling applications. We also will study efficiency measurement in production using linear programming methods (activity analysis), portfolio decision-making (financial engineering) and empirical approaches to analyzing litigation strategies in discrimination and antitrust cases. Emphasis will be on applications using such programs as and ECSTAT (Studenmond), EXCEL (Abright et al.) SAS, ESLWIN (Ramanathan). Two class days a week (Monday and Wednesday) will be devoted to lectures on new material while the third class (Friday) will be a computer laboratory in which students will apply concepts learned during the week. Monday and Wednesday classes will be in Baker Hall while the Friday computer labs will be in the Mudd Building Computer Lab 104.
Grading Policy
The final grade will be based on a midterm exam (25%), application exercises primarily conducted in the Friday computer laboratory (15%), pop quizes (10%), an empirical project whose topic will be decided by the student in consultation with the instructor (25%), and final exam (25%)
Course Outline
January 14 Introduction (S 1; R 1; AWZ 1)
January 16 Review of Probability and Statistics (S 5; R 2; AWZ 2-10)
January 21 Martin Luther King Holiday
January 23 Review of Probability and Statistics (S 5; R 2; AWZ 2-10)
January 28 Review of Probability and Statistics (S 5; R 2; AWZ 2-10)
February 4 Simple Regression (S 2; R 3; AWZ 13; GWH 5)
February 6 Multiple Regression (S 3; R 4; AWZ 13; GWH 5)
February 11 Multiple Regression (S 4; R 4; AWZ 13; GWH 5)
February 13 Multicollinearity (S 8; R 5; AWZ 14; GWH 5)
February 18 Functional Form and Model Selection (S 7; R 6; GWH 5)
February 20 Problems of Misspecification (S 6; R 8, 9; GWH 5)
February 22 Computer Lab
February 25 Distributed Lag Models (S 12; R 10)
February 27 Mid-term exam
March 1 Computer Lab
March 4-March 8 Mid-term recess
March 11 Simultaneous
Equations (S 14; R 13; GWH 6)
March 13 Carrying
out an Empirical Project (R 14; AWZ 17)
March 18 Carrying
out an Empirical Project (R 14; AWZ 17)
March 20 Time Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 22 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 25 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 27 Time
Series and Forecasting (S 12, S 15; R 11; AWZ 16; GWH 6)
March 29 Spring recess
April 1 Activity Analysis (GWH;
Handouts: DEAP
manuals, DEAP
program )
April 3 Activity Analysis (GWH; Handouts)
April 5 Activity Analysis (GWH; Handouts)
April 8 Activity Analysis (GWH; Handouts)
April 10 Activity Analysis (Handouts)
April 12 Activity Analysis (Handouts)
April 15 Financial Engineering (GWH 17 A, 19, 20; DEAP program, DEAP manuals)
April 17 Litigation
Support-Antitrust and Litigation Support-Discrimination.
April 19 Litigation
Support-Antitrust and Litigation Support-Discrimination.
April 22 Litigation
Support-Antitrust and Litigation Support-Discrimination.
April 24 Empirical Analysis in Litigation Support (GWH 18)
April 26 Empirical Analysis in Litigation Support and LAST DAY OF CLASSES (GWH 18)
Lecture Notes
Computer Lab Solutions
Lab #5a (February 23)
Lab #5b
Lab#5c
Lab#7 (March 16)
(see R pages: 636-639)
Lab#10(April 6)
Quiz and Exam Solutions
Other Links