Economics 385


Spring Semester 2014-15
MW 2:40-4:00 PAC107
 

Professor Joyce Jacobsen
Office: 332 PAC
E-mail: jjacobsen@wesleyan.edu
Phone: 860-685-2357 (o), 860-344-8514 (h),  860-836-6022 (mobile)
Office hours: available by appointment and walk-in whenever door is open
Course Assistant: Tuan Nguyen Viet



General Course Information

Purpose: This is an advanced course designed primarily for economics majors who have a solid math background and good comprehension of the material covered in Econ 300. We will revisit the material on regression that was introduced in the last third of Econ 300 in more rigorous fashion, and then consider various extensions of the basic regression model that have proved useful to economists. By the end of the course, you should: (1) have a deeper understanding of the fundamental statistical assumptions and methods employed in empirical economic research; (2) be able to read much of the empirical economics literature and construct relevant critiques of the data and methodology employed in contemporary economic research; (3) be able to carry out your own relatively sophisticated empirical analyses of economic data. This course is useful preparation for those of you interested in working in economics and finance-related areas, including those students considering graduate school. We will not have time to cover all potentially relevant material, but will discuss research strategies so that you will be able to identify relevant topics on your own for course projects and for future work.

Classes: I announce assigned reading and hand out assignments in class, and post notices (and assignments) on the webpage as well. You are responsible for all assigned reading whether or not the material is covered explicitly in class. In the lectures I will focus on the most important topics as well as on those that are more difficult to comprehend.  I will assume that you have read the relevant text before the corresponding class. Please ask questions as they arise. Please feel free to comment on the level, pace, and content of the course as it progresses.

Computer Workshops: Manolis Kaparakis will offer a series of three workshops in ALLB 204 on use of the statistics software package STATA, which is the package we will support for the course (times are shown in the schedule).  QAC tutors are available for assistance in ALLB 108 throughout the semester (M-Th 3-5:30 and 7-10:30 pm, Fr 3-5:30 pm, Sun 6-10:30 pm).

Readings: There are two texts: Wooldridge, Introductory Econometrics, 5th edition, and Kennedy, A Guide to Econometrics, 6th edition. Both books are available on library reserve and at the bookstore.  There is an incomplete version of Kennedy available through Google Books (randomly missing pages). Additional short items will be handed out occasionally.  We may discuss some of the papers presented in the economics department seminar series.

Data:  All data files needed to complete the problem sets are available at P:\QAC\econ385.  The materials from the computer workshops will be filed there as well.

Coursework and Grades: There will be eleven homework assignments, a midterm, a project, and a final exam. Both tests are open-book, open-notes.  The weights of the different course components in your course grade are:


Assignments
25%
Midterm (March 4)
25%
Project (May 6; automatic extension to May 11, 6 pm)
25%
Final Exam (May 15, 2 - 5 pm)
25%

100%
 

Assignments will be handed out Mondays and due by 6 pm Friday. They can be dropped off in the Econ 385 slot in the alcove next to the economics department office. Assignments handed in late will be penalized unless an agreement is made ahead of time with me.

Honor Code: All work handed in must be your own. This does not mean that you must refrain from discussing problems with other students as an aid to understanding the material, but it does preclude copying other students' work. You are expected to discourage such behavior on the part of others. This distinction is generally clear enough to make in practice; when in doubt, please discuss it with me.

Disabilities Services:  Students who request accommodations are required by the Dean's office to provide documentation outlining their needs and to meet with Dean Patey to discuss their needs. Then please come talk to me early in the semester so we can work out accommodation specifics.

Credit/Unsatisfactory Provisos:  You have to get a D- or better in order to get credit for the course.  If you are taking the course on a credit/unsatisfactory basis, if you complete three of the four course components satisfactorily, you can skip the other component.



Course Assignments
Date
Reading/Activity 
Assignments/handouts
M 1/26/15
Kennedy p. xii, Ch. 1 pp. 1-5 (notes on pp. 6-10 are optional; I recommend section 1.1)
Wooldridge Ch. 1 pp. 1-12 (section 1.4 pp. 12-16 optional but recommended)
Wooldridge Appendix A (really basic but important, particularly section A.4)
Wooldridge Appendix B
Wooldridge Appendix C, sections C.1-C.2, C.5-C.7 (can skim C.5 and C.6)
optional discussion of Bayesian school:  Kennedy Ch. 14
assignment #1 (due F 1/30/15)
W1/28/15
Wooldridge Appendix C, section C.3

M 2/2/15
Wooldridge Appendix D
Wooldridge Appendix C, section C.4
Wooldridge Ch. 2, sections 2.1-2.2
assignment #2 (due F 2/6/15)
T 2/3/15
Stata Workshop #1, Intro to Stata, 4:30-6:00 in ALLB 204

W 2/4/15
Wooldridge Ch. 2, sections 2.3-2.6 and Appendix 2A
Wooldrige Appendix E, section E.1

W 2/4/15
Stata Workshop #1, Intro to Stata, 7:00-8:30 in ALLB 204

M 2/9/15
Wooldridge Ch. 3, start it assignment #3 (due F 2/13/15)
W 2/11/15
Wooldridge Ch. 3, rest of it including the appendix
Wooldridge Appendix E, section E.2
Kennedy pp. 21-22 (section 2.9) (notes on pp. 29-30, 36-38 are optional; I recommend pp. 36-37)

M 2/16/15
Wooldridge Ch. 4, sections 4.1-4.3
Wooldridge Appendix E, section E.3
assignment #4 (due F 2/20/15)
T 2/17/15
Stata Workshop #2, Regression with Stata, 4:30-6:00 in ALLB 204
W 2/18/15
Wooldridge Ch. 4, sections 4.4-4.5
Kennedy Ch. 2 pp. 11-18, Ch. 3 pp. 40-44, Ch. 6 pp. 93-94

W 2/18/15
Stata Workshop #2, Regression with Stata, 7:00-8:30 in ALLB 204
M 2/23/15
Kennedy Ch. 4 pp. 51-58 (can also use Wooldridge Ch. 5 pp. 178-179, Ch. 17 pp. 588-589, and Appendix E p. 818 to review nonlinear restriction tests)
Wooldridge Ch. 6 (skim it; we'll cover parts of section 6.3 and 6.4 in class), excluding the appendix
Wooldridge Ch. 7, sections 7.1-7.4 (skim them; we'll cover pp. 245-248 in class)
assignment #5 (due F 2/27/15)
W 2/25/15
Kennedy Appendix C (optional)
Wooldridge Ch. 5, sections 5.1-5.3
Kennedy Ch. 3 pp. 41-42
Kennedy Ch. 6 pp. 93-99
Kennedy Ch. 7
midterm review handout
old midterm and answers
even older midterm and answers
M 3/2/15
anything we hadn't gotten to yet from last Wednesday
assignment #6 (due F 3/27/15)
project handout
W 3/4/15
midterm and answers
M 3/23/15
Wooldridge Ch. 8, sections 8.1-8.4
Kennedy Ch. 8 pp. 112-121 (related notes optional)
Wooldridge Ch. 10 (skim it; we'll cover parts of sections 10.2, 10.3, and 10.5 in class)

W 3/25/15
Wooldridge Ch. 12, sections 12.1-12.2 Craighead paper
M 3/30/15
Kennedy Ch. 18
Wooldridge Ch. 13 (skim it; we'll cover parts of sections 13.1-13.3, 13.5, and the appendix in class)
Wooldridge Ch. 14, sections 14.1-14.2 and the appendix
assignment #7 (due F 4/3/15)
papers used for assignment #6
pages from Grossman-Imai paper
T 3/31/15
Stata Workshop #3, Basic Time Series and Panel Data with Stata, 4:30-6:00 in ALLB 204
W 4/1/15
Wooldridge Ch. 15, sections 15.1, 15.3 pages from Zhao-Jacobsen paper
W 4/1/15
Stata Workshop #3, Basic Time Series and Panel Data with Stata, 7:00-8:30 in ALLB 204
M 4/6/15
Wooldridge Ch. 17, sections 17.1-17.2, appendix 17A
Kennedy Ch. 16
assignment #8 (due F 4/10/15)
seminar paper pages
T 4/7/15

project proposals due by 6 pm
W 4/8/15
Wooldridge Ch. 9
Kennedy Ch. 5
optional discussion of how to do an empirical project: Wooldridge Ch. 19

M 4/13/15
Kennedy Ch. 12
Wooldridge Ch. 14, sections 14.3-14.4
assignment #9 (due F 4/17/15)
wikipedia: the Hausman test
wikipedia: LAD
wikipedia: quantile regression
W 4/15/15
Wooldridge Ch. 11, sections 11.1-11.3 Congdon-Hohman paper
Jacobsen-Rayack paper
M 4/20/15
Wooldridge Ch. 12, sections 12.3-12.6 assignment #10 (due F 4/24/15)
T-bill graphs
W 4/22/15
Kennedy Ch. 19
Kennedy Ch. 10, pp. 160-163
Wooldridge Ch. 18 (skim it; we'll cover parts of sections 18.1-18.4 in class)
Andrews seminar announcement
Stock-Watson paper
pages from Jacobsen-Khamis-Yuksel paper
M 4/27/15
Wooldridge Ch. 15, 15.2-15.8 (just skim sections 15.4 and 15.6-15.8)
Kennedy Ch. 9 (notes optional, but technical notes to section 9.2 recommended)
Kennedy Ch. 8, pp. 122-123 (and related notes)
Kennedy Ch. 10, pp. 157-160
assignment #11 (due F 5/1/15)
W 4/29/15
Wooldridge Ch. 16, 16.1-16.6 (just skim sections 16.5-16.6)
Kennedy Ch. 11

M 5/4/15
Wooldridge Ch. 17, 17.4-17.5
Kennedy Ch. 17, pp. 262-267
pages from published Jacobsen-Khamis-Yuksel paper
W 5/6/15
course review project due (automatic extension to M 5/11/15 at 6 pm)
pages from Jacobsen-Levin-Tausanovich paper
final review handout
essay questions for final
old final
even older final
F 5/15/15
final

.




Course-Related Links
Econometrics-Specific Sites
Online Resources for Econometric Students
Useful links to econometric research resources, software, and statistics
Online Econometrics Glossary
Resource for easy access to econometric and statistical term definitions and descriptions
Econometriclinks.com
Hard-core site for econometricians
Wikipedia entry
for the term "econometrics"
Stata
The Stata software package website
Random.org
My favorite random-number generating site
General Economics Links, Data and Statistics
RFE: Resources for Economists
The most comprehensive guide to economics related information on the web;
it includes an economics-specific Google search engine, http://ese.rfe.org
Data Sources
Links to data and statistics on demographics, economic growth, financial indicators, and other important variables
USA.gov
The gateway site for statistics from a variety of U.S. Federal agencies
FRED (Federal Reserve Economic Data)
very useful macro and monetary data and good presentation graphics
Economic Report of the President, 1995-present
Statistical tables can be accessed as spreadsheet files
U. S. Census Bureau Home Page
Current information on economic, social, and demographic indicators
Bureau of Economic Analysis
Estimates of key national, international, and regional aspects of the U. S. economy
U. S. Bureau of Labor Statistics
Source containing datasets and information about a variety of economic variables
United Nations Statistics Division
has some free data available from its webpage
The World Bank
also has some free data available
Economagic
good for generating quick charts