ECON 446

+SPRING 2009

ECON 446 - Applied Econometrics and Economic Modeling

General Information

· Instructor: Robin Sickles

· Meetings: MW 11:00-11:50am, SS 106

· Office: Baker Hall 236

· Phone: 713 348-3322

· email: rsickles@rice.edu

· Office Hours: MW 1-2pm or by appointment

· Econometrics Lab: F 11:00-11:50 am. If your name comes after Meister, alphabetically, then you should go to BH-214; otherwise, go to SH-101. Also, make sure to bring the book ("principles of econometrics") to the lab.

· TA: Michael Naaman mikenaaman@rice.edu; Jianghua Li jli6@rice.edu

· TA Office Hours: MWF 12-1 Baker Hall 237

download Econ 446 course Questionnarie

ATTENTION: Any student with a documented disability seeking academic adjustments or accommodations is requested to speak with Dr. Sickles during the first two weeks of class. All such discussions will remain as confidential as possible. Students with disabilities will also need to contact Disability Support Services in the Ley Student Center.

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. Emphasis will be on applications using STATA, a popular econometric software, and Excel. 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 SS-106 while the Friday computer labs will be in Sewall Hall 101 and Butcher Hall 214.

Required Textbook

Principles of Econometrics, 2007, Hill, Griffiths & Lim (HGL), Wiley Press . http://www.principlesofeconometrics.com

Recommended Book

· Introduction to Applied Econometrics, 2005, 1st Edition, Kenneth Stewart (KS), Duxberry

Press.

· Student Companion Site, Hill, Griffiths, Lim: Principles of Economics, 3^rd Edition

http://bcs.wiley.com/he-bcs/Books?action=index&itemId=0471723606&bcsId=4138

Required Software

Excel & Stata: You can find them on the computers in the Fondren library, the lab in Baker Hall, or in Sewall 101 .

Simply go:

Start → All programs → Applications, you will find the software you need.

http://higheredbcs.wiley.com/legacy/college/hill/0471723606/excel/using_excel_for_principles_of_econometrics3e.pdf

Grading Policy

The final grade will be based on two midterm exams (20%), application exercises conducted in the Friday computer laboratory (25%), final exam (25%) and

two options for assignments (10%):

1. Stock market project (which is due April 24)

Graded Problem Sets

1. Graded problem sets #1. Figure 2.9 for the problem 3.1 (due on 2/16/09)

3. Graded problem set #2 due date 3/30/2009

5. Graded problem set #3 due date 4/24/2009

Answer Keys and Old Exams

APRIL 21 review session at 7 PM in 116 in Baker Hall; however, location is subject to change.

1. Midterm Exam 1 (2007)

3. Midterm Exam 1 (2008)

5. Midterm Exam 2, (2007)

8. Final Exam (2007)

9. Final Exam (2008)

Course Outline

January 5 Introduction (HGL-Chapter1, KS-Chapter 1, HGJ-Chapter 1)

January 7 Probability and Statistical Inference (KS-Chapter 2, HGJ-Chapter 2)

January 9 Computer Laboratory (handout)

January 12 Review of Probability and Statistical Inference (KS-Chapter 2, HGJ-Chapter 2)
- KS-Appendix A: Laws of Summation and Deviation Form
- KS-Appendix B: Distribution Theory

January 14 Review of Probability and Statistical Inference Continued (KS-Chapter 2, HGJ-Chapter 2, Statistical Inference I-Parts 1-4)

January 16 Computer Laboratory (handout)

January 19 NO Class, Martin Luther King Day

January 21 Review of Probability and Statistical Inference (KS-Chapter 2, HGJ-Chapter 2, Stat Inference I-Part 5 6 7)
- Example of Lognormal and Normal Distributions in Economics (doc)
- KS-Appendix A: Laws of Summation and Deviation Form
- KS-Appendix B: Distribution Theory

January 23 Computer Laboratory (handout)

January 26 Simple Regression (Statistical Inference II-Parts 1-2 3 4 5)
- Relationships between variables (KS-Chapter 3)
- Simple Regression (HGL-Chapter 2, HGL-Chapter 2.pptx, KS-Chapter 4, HGJ-Chapter 3)

January 28 Simple Regression
- Simple Regression (HGL-Chapter 2, HGL-Chapter 2.pptx, KS-Chapter 4, HGJ-Chapter 3)
- Least Squares Estimators (HGL-Chapter 2, HGL-Chapter 2.pptx, HGJ-Chapter 4)

January 30 Computer Laboratory (handout)

February 2 Simple Regression

- Simple Regression (HGL-Chapter 2,HGL-Chapter 2.pptx, KS-Chapter 4, KS-Chapter 5, HGJ-Chapter 4)

February 4 Simple Regression

- Simple Regression (HGL-Chapter 2, HGL-Chapter 2.pptx, KS-Chapter 4, KS-Chapter 5, HGJ-Chapter 4)

February 6 Computer Laboratory (handout)

February 9 Inference in the Simple Regression Model (HGL-Chapter 3, HGJ-Chapter 5)

February 11 Inference in the Simple Regression Model (HGL-Chapter 3, HGJ-Chapter 5)

February 13 Computer Laboratory (handout)

February 16 Inference in the Simple Regression Model (HGL-Chapter 3, HGJ-Chapter 5)

February 18 Prediction, Good-of-fit,and Modeling Issues (HGL-Chapter 4, KS-Chapter 6, KS-Chapter 8, HGJ-Chapter 6)

- Applications to Production Functions (KS-Chapter 7)

February 20 Computer Laboratory (handout)

February 23 Prediction, Good-of-fit,and Modeling Issues (HGL-Chapter 4, KS-Chapter 8, KS-Chapter 12, HGJ-Chapter 6)

February 23-Midterm review session at 7PM in SH-101(Naaman)

February 24-Midterm review session at 7PM in Baker Hall 102 (Li)

February 25 Midterm Exam #1

- Midterm Exam Pretest Questions

- Midterm Exam (2006)

- Midterm Exam (2007)

- Midterm Exam (2008)

- For MT exam # 1 review study selected questions (*) in HGL from chapters 2, 3, and 4. Solutions can be found for the selected questions (*) in Appendix D of the text.

February 27 Computer Laboratory-Lab will be held in SH-101 only. Students may come to work on uncompleted assignments. Attendance is optional.

February 28-March 8 (no class)

March 9 Multiple Regression (HGL-Chapter 5, HGJ-Chapter 7)

March 11 Multiple Regression (HGL-Chapter 5 and Chapter 6, HGJ-Chapter 7 and Chapter 8 )

March 13 Computer Laboratory (handout)

March 16 (HGL-Chapter 6, HGJ-Chapter 8 )

March 18 (HGL-Chapter 7, HGJ-Chapter 9)

March 20 Computer Laboratory (handout)

March 23 Nonlinear Models (HGL-Chapter 7, HGJ-Chapter 10)

March 25 Nonlinear Models/Heteroskedasticity (HGL-Chapter 7 and Chapter 8, HGJ-Chapter 10, 11 )

March 26-Midterm 2 Review-Baker Hall 116 from 7-9 PM with Michael Naaman.

March 27 Computer Lab- word handout, pdf handout

March 29-Midterm 2 Review-Baker Hall 116 from 7-9 PM with Jianghua Li.

March 30 Midterm Exam # 2

Sample questions for Midterm Exam # 2

Midterm Exam #2, 2007

April 1 Heteroskedasticity Autocorrelation (HGL-Chapter 7 and Chapter 8, HGJ-Chapter 11, 12 )

April 2 Spring Recess

April 6 Autocorrelation (HGL-Chapter 9, HGJ-Chapter 12 )

April 8 Autocorrelation (HGL-Chapter 9,HGJ-Chapter12)

April 10 Computer Lab (handout nlces.ado)

April 13 Stochastic Regressors (HGL-Chapter 10)

April 15 Simultaneous Equations (HGL-Chapter 11, HGJ, Chapter 14)

April 17 Computer Laboratory (handout learn.xls)

Semester Ends. Good Luck!!

APRIL 21 review session at 7 PM in 116, tentatively, in Baker Hall

April 22, Final Exam (take-home)

Sample questions for Final Exam

Final Exam 2007

Take-home final (3 hours) can be picked up April 22 at 9:00 am and is due by April 29 at 5:00 pm for all degree candidates. Final exam is
due by April 30 at 5:00 pm for all non-graduating students. Exams can be picked up from (and returned to) Altha Rodgers in the Economics
Department Offices in Baker Hall 259.