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Econometrics

Econ 452
Michael Carr
Department of Economics
Contact Information:
Email: michael.carr@umb.edu
Oce: W-5-31
Mailbox: W-5-82
Oce Hours: TBD
Website: www.faculty.umb.edu/michael.carr
I am generally very good at responding to emails. But, if you do not hear from me within 24 hours, I either
forgot to respond or overlooked your email. Please, email me again after the 24 hours are up. You cannot
count on me responding to emails after 7:30pm, but I will respond rst thing in the morning. Do not call
my oce, you almost certainly will not nd me.
Course Description This is a course in the techniques of estimating economic models. The uses and
pitfalls of empirical estimation in economics will be examined. In addition to lectures, there will be a
weekly one-hour computer lab, where students will apply these methods using econometric software.
Course Goals and Objectives The goal of this class is to provide a rm grounding in the basics of modern
econometric practice. The primary focus of the class is on an applied understanding of econometric
tools, with a strong focus on when particular estimation techniques are applicable and when they are
not. Students will learn these skills by both answering typical textbook questions with generic datasets
and by a largely self-guided nal project.
Readings There is one required text for this class, it is Wooldridge (2009). The book is available in the
bookstore. A complete citation is available in the bibliography. Any additional readings will be made
available on the course website.
Grading The grading breakdown for the course is as follows:
Homework 30%
Exam 1 20%
Exam 2 20%
Exam 3 10%
Final Project 20%
Attendance I do not require that you attend class, and will not take attendance.
Homework There will be (roughly) weekly homework assignments over the course of the semester,
organized by chapter. Late assignments will not be accepted, with no exceptions. You
may email me the assignment if you wish, which means that assignments do not need to be turned
in in class. I am happy to answer any clarifying questions you may have, but I will not read your
homework answers, tell you if they are right or not, and tell you how to x them if they are
wrong. You are encouraged to work on the homework assignments with your classmates. If you
do so, please state who you worked with on the homework. You must always turn in your own
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assignment, even if you work with someone else. And, the assignments should always be in your
own words. All questions come from the textbook. Each homework question has two numbers:
the rst number is the chapter, the second number is the question number. For example, 10.4 is a
question from chapter 10, question number 4. Problems that start with a C require you to use
Stata. Note that the number starts over for the computer questions, so 10.4 and C10.4 are not
the same question. Most homework assignments are due Friday. I leave around 2pm on Fridays,
so if you want to turn in a hardcopy it needs to be in my mailbox absolutely no later than 2pm.
No. Questions
1 Hypothesis testing
2 2.4, 2.5, C2.1, C2.4, C2.6, 3.1, 3.4, 3.7, C3.2, C3.4, C3.8
3 4.1, 4.2, 4.4, 4.10, C4.1, C4.5, C4.9
4 6.3, 6.4, 6.7, C6.1, C6.4, C6.9, 7.1, 7.3, C7.2, C7.6, C7.9
5 8.1, 8.5, C8.4
6 10.1, 10.5, C10.3, C10.6, C10.11
7 12.1, 12.3, C12.10, C12.13, C12.14
8 13.3, 13.6, C13.3, C13.5, 14.5, C14.3, C14.5, C14.8
9 17.2, C17.2, C17.8
Exams There will be three exams over the course of the semester, roughly corresponding to the three
sections of the course. The rst two exams will cover two class periods, the rst half will be
written and the second half will be on the computers in the computer lab. The third exam will
be one class period.
Final Project You will write an original research paper at the end of the semester. Students are
responsible for coming up with a question, nding the data, and analyzing the data. I strongly
encourage you to work with someone else on this project, though I will not require you to do so.
You may work with at most two other people, meaning groups shouldnt exceed three people.
Final Grade There is no predetermined grading scale for this course. Letter grades will be assigned
based on the distribution of grades at the end of the semester. The curve applied at the end of
the semester will not decrease your letter grade based on a standard grading scale, but it could
increase it. I will not be able to give a clear idea of what the curve looks like until the last third
of the semester. You can be assured that your letter grade will be at least as high as: A >93%,
A- 90%-93%, B+ 87%-89%, B 84%-86%, B- 80%-83%, C+ 77%-79%, C 74%-76%, C- 70%-73%,
D+ 67%-69%, D 64%-66%, D- 60%-63%, F <60%.
Reasonable Accommodation If you have a disability and feel you will need accommodations in order to
complete course requirements, please contact the Ross Center for Disability Services (Campus Center 2-
2010, 617-287-7430). I am happy to work with you on this. You must notify me of any accommodation
in advance.
Academic Honesty University policies on academic honesty will be enforced in this class. Most impor-
tantly, what this means is that turning in the work of others as your own is not okay. If using the ideas
or language of a published source of material including newspapers, magazines, blogs, websites, and the
like you must cite the source of this material. Copying from your classmates is never acceptable, and
will automatically result in a grade of zero for that assignment. Note, however, that working together
with classmates is strongly encouraged, as long as the assignment you turn in is in your own words, or
the work is explicitly assigned to a group. If you are unclear on the standards for academic honesty,
consult the Code of Student Conduct.
Course Layout and Timeline The course is divided into roughly three sections: cross-section regression,
time-series and panel regression, and limited dependent varaibles. Readings are listed according to the
date they should be read by (e.g. all readings listed for week 2 should be read by the rst class meeting
in week 2.). In the readings column IE stands for Wooldridge (2009).
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Sec. Date Topic Readings Events
1 09/07/11 What is Econometrics IE 1
1 09/09/11 What is Econometrics IE 1
2 09/12/11 Probability and distribution IE B3-B5
2 09/14/11 Hypothesis Testing IE C5-C6
3 09/16/11 Bivariate Regression IE 2 HW #1
4 09/19/11 Multiple Regression IE 3
4 09/21/11 Multiple Regression IE 3
5 09/23/11 Interpreting Regression Output IE 4 HW #2
5 09/26/11 Interpreting Regression Output IE 4
5 09/28/11 Interpreting Regression Output IE 4
5 09/30/11 Functional Form IE 6 HW #3
6 10/03/11 Dummy Variables IE 7
7 10/05/11 Dummy Variables IE 7
7 10/07/11 Heteroskedasticity IE 8 HW #4
10/10/11 No Class No Class
8 10/12/11 Heteroskedasticity IE 8
8 10/14/11 Catch-up and/or Review HW #5
10/17/11 Catch-up and/or Review
10/19/11 Exam 1 Exam 1
9 10/21/11 Time-Series IE 10
9 10/24/11 Time-Series IE 10
9 10/26/11 Time Series IE 12
10 10/28/11 Serial Correlation and Heteroskedasticity IE 12 HW #6
10 10/31/11 Serial Correlation and Heteroskedasticity IE 12
11 11/02/11 Panel Data Methods IE 13
11 11/04/11 Panel Data Methods IE 13 HW #7
12 11/07/11 Advanced Panel Data Methods IE 14
12 11/09/11 Advanced Panel Data Methods IE 14
11/11/11 No Class No Class
11/14/11 Catch-up and/or Review HW #9
11/16/11 Exam 2 Exam 2
13 11/18/11 Limited Dependent Variables IE 17
13 11/21/11 Limited Dependent Variables IE 17
11/23/11 No Class No Class
11/25/11 No Class No Class
14 11/28/11 Limited Dependent Variables IE 17
11/30/11 Limited Dependent Variables IE 17
12/02/11 Exam 3 HW #10
12/05/11 Presentations
12/07/11 Presentations
12/09/11 Presentations
12/12/11 Presentations
12/14/11 Presentations
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References
Wooldridge, Jerey M. 2009. Introductory Econometrics: A Modern Approach, 4e. Mason, OH: South-
Western Cengage Learning.
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