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Introductory Econometrics

ECO 5350-702

Fall 2021

Description: This course is an introduction to econometric tools that are popular in empirical researches. In particular, we will focus on the regression analysis with cross-sectional data for most part of the course, and have a brief discussion on time series regression in the last section. Besides the theory, students will also learn how to use these econometric tools to analyze actual data sets with R.

Textbooks: Stock, J. and M. Watson (2018). Introduction to Econometrics (4th Edition).

Software: R is a free software package and is downloadable at here. An integrated development environment (IDE) for R is RStudio, which is also free and can be downloaded at here.

Grading:

● Exams: There will be three online midterm exams. Each midterm exam will constitute 20% of your final grade. No make-up exams will be given, unless you have a note signed by your doctor indicating that the student is medically incapable at the time of the exam.

● Homework: The homework will constitute 40% of your final grade. Carbon copy homework will NOT be accepted, but you may consult with your classmates. Homework handed in late will NOT be accepted, and will receive a zero grade. PDF copy of your homework should be uploaded onto Canvas (hard copy will NOT be accepted).

Dates to Remember:

University Policies:

● COVID-19 Masking Policy:

Masks are required in this course. This masking requirement is subject to change during the semester, and any changes will be announced in class, posted clearly in Canvas, and updated in the syllabus.

● COVID-19 and Other Medical-Related Absences: Students who test positive for COVID-19 and need to isolate, or who are notified of potential exposure, must follow SMU’s Contact Tracing Protocol. To ensure academic continuity and avoid any course penalties, students should follow the same procedures described by their instructors as they would for any other medical-related absence in order to be provided with appropriate modifications to assignments, deadlines, and exams.

● Excused Absences for University Extracurricular Activities: Students participating in an officially sanctioned, scheduled university extracurricular activity should be given the opportunity to make up class assignments or other graded assignments that were missed as a result of their par-ticipation. It is the responsibility of the student to make arrangements for make-up work with the instructor prior to any missed scheduled examinations or other missed assignments. (See 2020-2021 SMU Undergraduate Catalog under “Enrollment and Academic Records/Excused Absences.”)

● Religious Observance: Religiously observant students wishing to be absent on holidays that require missing class should notify their professors in writing at the beginning of the semester and should discuss with them, in advance, acceptable ways of making up any work missed because of the absence. Click here for a list of holidays.

● Disability Accommodations: Students who need academic accommodations for a disability must first register with Disability Accommodations & Success Strategies (DASS). Students can call 214-768-1470 or visit http://www.smu.edu/Provost/SASP/DASS to begin the process. Once they are registered and approved, students then submit a DASS Accommodation Letter through the electronic portal, DASS Link, and then communicate directly with each of their instructors to make appropriate arrangements. Please note that accommodations are not retroactive, but rather require advance notice in order to implement.

● Sexual Harassment: All forms of sexual harassment, including sexual assault, dating violence, domestic violence and stalking, are violations of SMU’s Title IX Sexual Harassment Policy and may also violate Texas law. Students who wish to file a complaint or to receive more information about the grievance process may contact Samantha Thomas, SMU’s Title IX Coordinator, at ac-[email protected] or 214-768-3601. Please note that faculty and staff are mandatory reporters. If students notify faculty or staff of sexual harassment, they must report it to the Title IX Coordinator. For more information about sexual harassment, including resources available to assist students, please visit www.smu.edu/sexualmisconduct.

● Pregnant and Parenting Students: Under Title IX, students who are pregnant or parenting may request academic adjustments by contacting Elsie Johnson ([email protected]) in the Office of the Dean of Students, or by calling 214-768-4564. Students seeking assistance must schedule an appointment with their professors as early as possible, present a letter from the Office of the Dean of Students, and make appropriate arrangements. Please note that academic adjustments are not retroactive and, when feasible, require advance notice to implement.

Student Learning Outcomes: Students who have successfully completed this course should be able to demonstrate knowledge of

● using the least squares method to estimate a linear regression model

● testing hypotheses on parameters of a linear regression model

● dealing with heteroskedasticity, endogeneity, measurement errors, missing data, and outliers

● forecasting economic variables

● analyzing real data using R

Outline:

● Introduction and Review

References: Stock and Watson, Ch.1-3.

– Questions and data

– Review of probability and statistics

– R tutorial

● Linear Regression

References: Stock and Watson, Ch.4-7 & 11-12 & 14.

– Linear regression with one regressor

– Linear regression with multiple regressors

– Hypothesis tests and confidence intervals

– Further Issues

● Regression Analysis of Time Series Data

References: Stock and Watson, Ch.15 & 17.

– Time series regression and forecasting

– Further Issues