3/9/2020 ECON 4014 - Econometrics IV (H) | Course Outlines

Course Outlines 2020

ECON 4014 - Econometrics IV (H)

North Terrace Campus - Semester 1 - 2020
The objective of this course is to study more advanced topics in econometrics. Students are expected to have knowledge
in statistics and multiple regression models at the level of Econometrics III/PG or equivalent. Topics typically include linear
regression models, instrument variables (IV) estimation, generalized method of moment (GMM), maximum likelihood
estimation (MLE), limited dependent variable (LDV) models, treatment effect and sample selection corrections, panel data
methods, Monte Carlo simulations and bootstrap methods. The emphasis is on understanding the models and the related
theories. Through the course, we will apply the theories developed to real-world data and interpret the estimation results in
many different respects.

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General Course Information

Course Details

Course Code ECON 4014

Course Econometrics IV (H)

Coordinating School of Economics

Unit

Term Semester 1

Level Undergraduate

Location/s North Terrace Campus

Units 3

Contact Up to 4 hours per week

Available for N
Study
Abroad and
Exchange

Prerequisites A minimum of a Credit in ECON 3502

Restrictions Available only to students enrolled in the Bachelor of Economics (Honours) program

The objective of this course is to study more advanced topics in econometrics. Students are
expected to have knowledge in statistics and multiple regression models at the level of
Econometrics III/PG or equivalent. Topics typically include linear regression models, instrument
variables (IV) estimation, generalized method of moment (GMM), maximum likelihood estimation
Course
(MLE), limited dependent variable (LDV) models, treatment effect and sample selection
Description
corrections, panel data methods, Monte Carlo simulations and bootstrap methods. The emphasis is
on understanding the models and the related theories. Through the course, we will apply the
theories developed to real-world data and interpret the estimation results in many different
respects.

Course Staff
Course Coordinator: Associate Professor Firmin Doko Tchatoka

Office location: Nexus 10, Level 4, Room 4.47

Telephone: 8313 1174
Course Timetable
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The full timetable of all activities for this course can be accessed from Course Planner.

The detailed list of topics will be given in the first class and posted on MyUni.

Learning Outcomes
Course Learning Outcomes
On successful completion of this course students will be able to:

1 Acquire knowledge of various advanced econometric models, estimation methods and related econometric
theories

2 Apply the above theories to empirical data or be able to develop new econometric theory

3 Write Matlab code and how to use statistical packages like STATA to estimate econometric models using real
world data

4 Work in groups when doing problem solving and computer exercises, and present relevant research papers in
the field of applied or theoretical econometrics

5 Conduct econometric analysis of data properly and understand the results

University Graduate Attributes

This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:

Course Learning
University Graduate Attribute
Outcome(s)

Deep discipline knowledge 1,2,3,4

informed and infused by cutting edge research, scaffolded throughout their program
of studies
acquired from personal interaction with research active educators, from year 1
accredited or validated against national or international standards (for relevant
programs)

Critical thinking and problem solving 2,3,5

steeped in research methods and rigor
based on empirical evidence and the scientific approach to knowledge development
demonstrated through appropriate and relevant assessment

Teamwork and communication skills 4,5

developed from, with, and via the SGDE
honed through assessment and practice throughout the program of studies
encouraged and valued in all aspects of learning

Career and leadership readiness 4,5

technology savvy
professional and, where relevant, fully accredited
forward thinking and well informed
tested and validated by work based experiences

Intercultural and ethical competency 4

adept at operating in other cultures
comfortable with different nationalities and social contexts
Able to determine and contribute to desirable social outcomes

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demonstrated by study abroad or with an understanding of indigenous knowledges

Self-awareness and emotional intelligence 1,4,5

a capacity for self-reflection and a willingness to engage in self-appraisal
open to objective and constructive feedback from supervisors and peers
able to negotiate difficult social situations, defuse conflict and engage positively in
purposeful debate

Learning Resources
Required Resources
Lecture notes will be posted on MyUni before each lecture.

Required Textbook

Marno Verbeeck A Guide to Modern Econometrics 4th Edition, A John Willey & Sons, Ltd, 2012

Computer Software

1 Matlab Available on the computers in Honours student room, PhD student room,
and the computer lab (10 Pulteney St. 2.20 Computer Suite 1 and Computer
Suite 3)

2 Stata Available on the computers in Honours student room, PhD student room,
and the computer lab (10 Pulteney St. 2.20 Computer Suite 3 only)

NB: Students are encouraged to use software other than the ones listed here. However, they must ensure that the
software is appropriate for their project. Students who use computers connected to the University network can request
ITS to install Matlab on their machines.
Recommended Resources

A.C. Cameron and P.K. Microeconometrics: Methods and Applications Cambridge University Press,
Travedi 2005

J.M. Wooldridge Econometric Analysis of Cross Section and Panel MIT Press, 2002
Data

F. Hayashi Econometrics Princeton University Press,

2000

P. A. Ruud An Introduction to Classical Econometric Theory Oxford, 2000.

J. Hamilton Time Series Analysis Princeton University Press,

1994

Online Learning

1 E-mail Check your student email often as course-related announcements are communicated via email

2 MyUni All the materials such as lecture notes, problem sets and their answer keys, Matlab manual, etc. will be
posted on the MyUni course webpage, www.myuni.adelaide.edu.au

NB: Lecture notes will be put on the course webpage before each lecture. Students need to print out lecture notes and
bring them to class.

Learning & Teaching Activities

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Learning & Teaching Modes

1 Lecture notes

2 Reading textbooks

3 Just in time teaching (JiTT) assessment

4 Problem solving and computer exercises

5 Empirical Project

NB: It is important for students to be able to apply what they learn in class to real world data by using computer
programs such as Matlab, Gauss, C++, R and Stata.
Workload
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.

Any student in this course is expected to attend all lectures, workshops and labs throughout the semester.

Lecture notes 2 hours/week

JiTT 3 hours/week

Additional readings and empirical project 2 hours/week

Problem solving and computer exercises 2 hours/week

NB: The above guide is for private study, that is, study outside of your regular classes.

Learning Activities Summary

Tentative Course Schedule (subject to changes)

1 Review of the classical multivariate linear model: estimation, inference, and violation of basic assumptions

2 Instrumental variables methods and GMM

3 Nonlinear least squares (NLS) and Maximum likelihood (ML) estimations

4 Models With Limited Dependent Variables

5 Models Based on Panel data

6 Sample Selection and Treatment Effects

Specific Course Requirements

N/A
Small Group Discovery Experience
N/A

Assessment
The University's policy on Assessment for Coursework Programs is based on the following four principles:

1. Assessment must encourage and reinforce learning.

2. Assessment must enable robust and fair judgements about student performance.
3. Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what
they have learned.
4. Assessment must maintain academic standards.
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Assessment Summary
The final mark for this course will be determined by:
Assessment Task Task Type Due Weighting Learning
Outcome

Just in Time Teaching (JiTT) Readings Refer to 10% 1-5

MyUni

Homework and Computer Problem solving and computing Refer to 15% 1-5
Exercises MyUni

Midterm Exam Formative, problem solving and Refer to 15% 1-5

computer exercises MyUni

Empirical project Formative, reading and computing Refer to 20% 1-5

MyUni

Final Exam Formative, problem solving and Refer to 40% 1-5

computer exercises MyUni

Assessment Related Requirements

N/A
Assessment Detail
1. Just in Time Teaching (JiTT)

In the unit I plan to use the Just in Time Teaching (JITT) technique. You will be required to read some material before
the relevant workshop and lecture. I will post the questions on MyUni. There will be three questions that will be covered
in the following week’s lecture, workshops and labs. You will submit your answers by Saturday 5pm. It is important to
bear in mind that while you will not be assessed on the content of your answers I will nevertheless use the JiTT
assessments to form a question in the midterm and final exams. I will also form view of the effort you are putting into
being prepared for the following week’s class—I read your submissions before the Monday class. The mark here is an
incentive to encourage you to participate rather than an assessment of the content.

2. Homework and Computer Exercises

Problem sets and computer exercises will be given to you fortnightly. Details (including submission dates) will be
provided on MyUni and discussed with students in lectures. Late submission will be accepted only if accompanied by
appropriate documentation, for example, a medical certificate. Each student must write and turn in her/his own
homework to me right before lecture begins in class on the due date. Students must write their name and student ID
number on the cover sheet.

3. Midterm Exam

1 h 30 min test containing short answer questions. The date will be posted on MyUni and discussed with students in
lectures. There will be no supplementary exam for the midterm exam. If you miss this exam and you provide a medical
certificate or compassionate reasons, your final exam will account for 55% (instead of 40%) of your total mark. Please
note that, following University policy, dictionaries are not allowed in School of Economics exams. Students may NOT
take any type of CALCULATOR to the exam.

4. Empirical Project

Students must complete an applied econometric study of an economic or financial relationship and answer a research
question that they pose. The maximum length of the final version of the project is 15 pages + references + appendix.
Students must replicate one of the following paper:

1. Fama, E. and French, K., 2004. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial
Economics, (33) 3-56.

2. Clarida, R., Gali, J., and Gertler, M., 2000. Monetary Policy Rules and Macroeconomic Stability: Evidence and Some
Theory. Quaterly Journal of Economics, Feb, 147-180.

3. Hamermesh, D. and Biddle, J., 1994. Beauty and the labour Market. American Economic Review, (84) 1174-1194.

4. Graddy, K., 1995. Testing for Imperfect Competition at the Fulton Fish Market. The RAND Journal of Economics, (26)
75-92.

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5. Narayan, P., Narayan, S., and Prasard, A., 2008. Understanding the Oil Price-exchange Rate Nexus for the Fiji
Islands. Energy Economics (30) 2686-2696.

6. Fair, R., 1978. A Theory of Extramarital Affairs. Journal of Political Economy (86) 45-61.

The project is divided in three parts: A, B, and C.

Project Part A (due date: Wed 23 Mar 2016): Must contain the abstract and data description

Abstract:

1. Clearly state the question that you will be investigating. Do not repeat the abstract from the source paper.

2. Provide the source of the data or the name of the database that you are planning to use.

3. Speculate what type of results you would expect to get in answer to your stated question.

Expected length: 1 page

Data Description:

4. Type of data (e.g. panel, time series, cross sectional, pooled cross sectional, etc.).

5. Frequency.

6. Dimensions of your data.

7. List variables that you will be using for your project.

8. Provide 5-point summary for all variables used in your analysis.

9. Graph your data and interpret the results (stationarity, seasonality, trends, structural breaks…).

Expected length: 3-4 pages

Project Part B (due date: Wed 27 Apr 2016): Residual Analysis

In this part of the assessment you have to specify and test the data selected for your project with your chosen models.
Justify the models’ selection through residual analysis and additional tests (you will have to determine which tests will
be applicable for your chosen data type and chosen models).

Expected length: 2-3 pages

Project Part C (due date: Wed 15 Jun 2016): Final Empirical Project

The term paper is your opportunity to construct a model and analyze it using econometric methods. A good paper will
have the following format structure:

1. Introduction (modified and improved Project Part A)

a. Why do we care?

b. What else is known about this problem?

c. What are the limitations of previous studies?

2. Data

a. Data collection

b. Sources and Descriptive statistics (modified and improved Project Part A)

3. The model

a. Estimation and Testing

b. Residual analysis (modified and improved Project Part B)

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4. Results

a. What are the main findings?

b. Do you find the empirical results convincing?

c. Interpret your findings and stress their significance

5. Conclusion

a. Summary of main contributions

b. How do you think the study could be improved?

6. Reference List

Each term paper will have an assignment submission cover page. Projects should be up to 15 pages of text (with all
references cited in the appropriate text), bibliography, tables and figures, and any appendix material. You must include
all relevant computer printouts including one that clearly lists your data in a compact. Your grade will depend on your
mastery of the relevant econometric theory and the organization of your paper.

5. Final Exam

3 hours multi-part problem solving questions: will cover all the lectures, JiTT, Homework and Computer Exercises, and
labs. Written sample answers will not be provided. Help with questions that you have made a genuine attempt to
answer may be provided by your lecturer/tutor either individually or in a group.
Submission
Refer to ASSESSMENT DETAIL. After being marked, generally, the assessment will be returned to students in class
about a week after
submission.
Course Grading
Grades for your performance in this course will be awarded in accordance with the following scheme:

M11 (Honours Mark Scheme)

Grade reflects following criteria for allocation of Reported on Official

Grade
grade Transcript

Fail A mark between 1-49 F

Third Class A mark between 50-59 3

Second Class Div A mark between 60-69 2B

B

Second Class Div A mark between 70-79 2A

A

First Class A mark between 80-100 1

Result Pending An interim result RP

Continuing Continuing CN

Further details of the grades/results can be obtained from Examinations.

Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade
level. More information at Assessment for Coursework Programs.

Final results for this course will be made available through Access Adelaide.

Additional Assessment
If a student receives 45-49 for their final mark for the course they will automatically be granted an additional
assessment. This will most likely be in the form of a new exam (Additional Assessment) and will have the same weight
as the original exam unless an alternative requirement (for example a hurdle requirement) is stated in this semester’s
Course Outline. If, after replacing the original exam mark with the new exam mark, it is calculated that the student has

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passed the course, they will receive 50 Pass as their final result for the course (no higher) but if the calculation totals
less than 50, their grade will be Fail and the higher of the original mark or the mark following the Additional Assessment
will be recorded as the final result.

Student Feedback
The University places a high priority on approaches to learning and teaching that enhance the student experience.
Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online
discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS
surveys and Program reviews.

SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties,
and course and program curriculum design. They enable the University to assess how effectively its learning
environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT
Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion
of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is
made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data
is available.

Student Support
Academic Support with Maths
Academic Support with writing and speaking skills
Student Life Counselling Support - Personal counselling for issues affecting study
International Student Support
AUU Student Care - Advocacy, confidential counselling, welfare support and advice
Students with a Disability - Alternative academic arrangements
Reasonable Adjustments to Teaching & Assessment for Students with a Disability Policy

Policies & Guidelines

This section contains links to relevant assessment-related policies and guidelines - all university policies.

Academic Credit Arrangement Policy

Academic Honesty Policy
Academic Progress by Coursework Students Policy
Assessment for Coursework Programs
Copyright Compliance Policy
Coursework Academic Programs Policy
Elder Conservatorium of Music Noise Management Plan
Intellectual Property Policy
IT Acceptable Use and Security Policy
Modified Arrangements for Coursework Assessment
Student Experience of Learning and Teaching Policy
Student Grievance Resolution Process

Fraud Awareness
Students are reminded that in order to maintain the academic integrity of all programs and courses, the university has a
zero-tolerance approach to students offering money or significant value goods or services to any staff member who is
involved in their teaching or assessment. Students offering lecturers or tutors or professional staff anything more than a
small token of appreciation is totally unacceptable, in any circumstances. Staff members are obliged to report all such
incidents to their supervisor/manager, who will refer them for action under the university's student’s disciplinary
procedures.

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The University of Adelaide is committed to regular reviews of the courses and programs it offers to students. The
University of Adelaide therefore reserves the right to discontinue or vary programs and courses without notice. Please read
the important information contained in the disclaimer.

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