Economics 385



Spring Semester 2010-11
WF 11:00-12:20 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: walk-in whenever door is open; also available by appointment
Course Assistant: Ali Chaudhry



General Course Information

Purpose: This is an advanced course designed primarily for math-econ majors and 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 the material that is of potential relevance, 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. I encourage you to comment on the level, pace, and content of the course as it progresses. In particular, please feel free to contact me by email.

Computer Workshops: Manolis Kaparakis will offer a series of three workshops in 204 ALLB on use of the statistics software package STATA, which is the package we will support for the course--see times in schedule below.  QAC tutors are available for assistance in 108 ALLB throughout the semester (M-Th 2-5 pm and 7-10 pm, Fr 2-5 pm, Sun 6-10 pm).

Readings: There are two required texts: Wooldridge, Introductory Econometrics, 4th edition, and Kennedy, A Guide to Econometrics, 6th edition. Additional short items will be handed out occasionally.  We may discuss some of the papers presented in the economics department seminar series.

Data:  The data files needed to complete the problem sets can be found 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 4; automatic extension to May 9, 6 pm))
25%
Final Exam (May 13, 2 - 5 pm)
25%

100%
 

Assignments will be handed out on Fridays and due by 6 p.m. Friday of the following week. They can be dropped off in the Econ 385 slot in the alcove next to the economics department office or at my office. Assignments handed in late will be penalized unless an agreement is made ahead of time with me. Assignments that are not picked up in class will be filed in the alphabetical slots in the alcove.

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:  It is the policy of Wesleyan University to provide reasonable accommodations to students with documented disabilities. Students, however, are responsible for registering with Disabilities Services, in addition to making requests known to instructors in a timely manner. If you require accommodations in this course, please make an appointment with me as soon as possible so that we can make appropriate arrangements.

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
F 1/21/11
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 (pp. 13-17 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 1/28/11)
W1/26/11
Wooldridge Appendix C, section C.3
Wooldridge Appendix D

F 1/28/11
Wooldridge Appendix C, section C.4
Wooldridge Ch. 2, sections 2.1-2.2
assignment #2 (due F 2/4/11)
T 2/1/11
Stata Workshop #1, either 4:30-6:00 or 7:00-8:30 in 204 ALLB

W 2/2/11
Wooldridge Ch. 2, sections 2.3-2.6 and Appendix 2A
Wooldrige Appendix E, section E.1

F 2/4/11
Wooldridge Ch. 3, start it
assignment #3 (due F 2/11/11)
W 2/9/11
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)

F 2/11/11
Wooldridge Ch. 4, sections 4.1-4.3
Wooldridge Appendix E, section E.3
assignment #4 (due F 2/18/11)
T 2/15/11
Stata Workshop #2, either 4:30-6:00 or 7:00-8:30 in 204 ALLB
W2/16/11
Wooldridge Ch. 4, sections 4.4-4.5
Kennedy Ch. 2 pp. 11-18, Ch. 3 pp. 40-44, Ch. 6 pp. 93-94

F 2/18/11
Kennedy Ch. 4 pp. 51-58 (can also use Wooldridge Ch. 5 pp. 176-178, Ch. 17 pp. 579-580, and Appendix E pp. 809-810 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. 243-246 in class)
assignment #5 (due F 2/25/11)
W2/23/11
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

F 2/25/11
Wooldridge Ch. 8, sections 8.1-8.4
Kennedy Ch. 8 pp. 112-117
assignment #6 (due F 3/25/11)
handout on project
W 3/2/11
midterm review
midterm review handout
old midterm and answers
F 3/4/11
midterm and answers
wikipedia: LAD estimator
wikipedia: Laplace distribution
W3/23/11
Wooldridge Ch. 10 (skim it; we'll cover parts of sections 10.2, 10.3, and 10.5 in class)
Kennedy Ch. 8, pp. 118-121 (related notes optional)
Wooldridge Ch. 12, sections 12.1-12.2

F 3/25/11 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 4/1/11)
Cohen-Dupas paper
T 3/29/11
Stata Workshop #3, either 4:30-6:00 or 7:00-8:30 in 204 ALLB
W3/30/11
Wooldridge Ch. 15, sections 15.1, 15.3
Zhao-Jacobsen paper
F 4/1/11 Wooldridge Ch. 17, sections 17.1-17.2, appendix 17A
Kennedy Ch. 16
assignment #8 (due F 4/8/11)
papers used for assignment #6
W 4/6/11
Wooldridge Ch. 9
Kennedy Ch. 5
optional discussion of how to do an empirical project: Wooldridge Ch. 19
wikipedia: quantile regression
project proposal (due 6 pm)
F 4/8/11 Kennedy Ch. 12
Wooldridge Ch. 14, section 14.3
assignment #9 (due F 4/15/11)
W4/13/11
Wooldridge Ch. 11, sections 11.1-11.3
Jacobsen-Rayack paper
F 4/15/11 Wooldridge Ch. 12, sections 12.3-12.6
tbill rate graphs
assignment #10 (due F 4/22/11)
W4/20/11
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)
Stock-Watson paper
F 4/22/11 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 4/29/11)
W4/27/11
Wooldridge Ch. 16, 16.1-16.6 (just skim sections 16.5-16.6)
Kennedy Ch. 11
wikipedia: Poisson distribution
Mark Jacobsen paper
F 4/29/11
Wooldridge Ch. 17, 17.4-17.5
Kennedy Ch. 17, pp. 262-267

W 5/4/11
course review
project  due (extension to M 5/9/11 at 6 pm)
final review handout
essay questions for final
F 5/13/11
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
Fedstats
The gateway site for statistics from a variety of U.S. Federal agencies
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