BE103/512

THE UNIVERSITY OF HONG KONG

FACULTY OF BUSINESS AND ECONOMICS

ECON6001C/D – Applied Econometrics

Fall 2023

GENERAL INFORMATION
Instructor: Dr.Yu Hao

Email: haoyu@hku.hk
Office: KK927
Phone:
Consultation times: Thursday 4pm to 6pm

Tutor: Dr. Karen Mai (for tutorials), Alex Chan (in-class support)
Email: maixt@hku.hk alexcyt@hku.hk

Pre-requisites: N/A
Co-requisites: N/A
Mutually exclusive:

Course Website: A Moodle course on the HKU portal. Students are encouraged to visit the course
website at least once a week.
To get started with this course, we need to set up the environment for data analysis on your PC/Mac.

Other important details:

We mainly use programming languages for this course, R. The reason for selecting this programming
language is that for many data analysis jobs, knowing R is a pre-requisite.

Course Description

This course studies how practical problems can be solved by applying econometric methods.
The emphasis is on the application of econometric methods to the analysis of real-world economic
data using advanced statistical software.
Topics include multilinear regressions, limited dependent variable, panel data, experiments and quasi-
experiments, instrumental variables, time series and forecasting, and basics of machine learning.
Pre-requisites:
• Solid knowledge of statistics
• Introductory level econometric methods
• Linear algebra
Students are encouraged to check out student resources the publisher provides on the Internet. Lecture
slides will be posted on the course website. Additional handouts will be distributed when needed to
supplement the textbook.

Course Materials
Main textbook:
• Stock, James and Mark Watson (2018), Introduction to Econometrics, Global Edition, 4th ed.,
Pearson. (It is perfectly fine if you use the 3rd edition of this textbook.)
• Hanck, Christoph, Martin Arnold, Alexander Gerber, and Martin Schmelzer. "Introduction to
Econometrics with R." University of Duisburg-Essen (2019).
Supplementary textbook:
• Jeffrey Wooldridge , Introductory Econometrics: A Modern Approach, Ohio : South-Western
Cengage Learning.
• Cunningham, Scott. "Causal Inference." The Mixtape 1 (2020).
• Sheppard, Kevin. "Introduction to Python for econometrics, statistics and data analysis." Self-
published, University of Oxford, version 2 (2012).
Students are encouraged to check out student resources the publisher provides on the Internet. Lecture
slides will be posted on the course website.
COURSE OBJECTIVES
To provide knowledge of econometric methods for analysis of economic data
To provide hands-on experiences of data analysis using statistical software

Programme Learning Outcomes

Understanding of fundamental theories and new development in economics

Mastering of skills in analyzing economic data
Demonstration of ability to apply economic knowledge and analytical skills to address policy and
business problems
Awareness of ethical concerns in economic issues
Course Learning Outcomes

Course Learning Outcomes Aligned

Programme
Learning
Outcomes
CLO1. Be familiar with the basics of statistics and econometrics.
PLO1, PLO2

CLO2. Be able to build an econometric model for a problem and choose an PLO 3
appropriate econometric method to estimate the model.
CLO3. Be able to do estimation and hypothesis testing of the econometric model PLO3
using statistical software.

CLO4. Be able to interpret results

PLO4
COURSE TEACHING AND LEARNING ACTIVITIES
Course Teaching and Learning Activities Expected Study Load
contact (% of study)
hour

T&L1. Lectures: Instructors give lectures on major concepts and issues. 36 hours 30%

T&L2. Consultation: The instructors and tutors hold weekly consultation 24 hours 20%
hours.
T&L3. Weekly TA section will start from the second week. The tutor will
go over problem sets and discuss more exercises during the in-class 12 hours 10%
sessions, while in some sessions the tutor will show students how to use the
statistical software – R to do the analysis.

T&L4. Homework: Students are required to solve problems and do

exercises to internalize basic concepts and carry out econometric analysis 36 hours 30%
of economic data using statistical software.
T&L5. Self study. 12 hours 10%

Total 120 100%

hours

Assessment Methods Weight Aligned

Course
Learning
Outcomes
A1. Assignments 30% PLO1,2,3,4

A2. Midterm 30% PLO1,2,3,4

A3. Final 40% PLO1,2,3,4

Total 100%
There will be 6 homework assignments. These will be posted on the course website along with due
dates. You can work in groups (of up to three) but we strongly encourage you to work through the
problems independently before working together as a group. No late assignments will be accepted nor
will any credit be given for turning in assignments after the due date. Assignments will reinforce key
concepts and provide hands-on experiences with empirical applications. They will also serve as
preparation for exams.
The final exam is to be scheduled by the exam unit of the University.

Standards for Assessments

Course Grade Descriptors

A+, A, A- Strong evidence of superb ability to fulfill the intended
learning outcomes of the course at all levels of learning:
describe, apply, evaluate and synthesis.
B+, B, B- Strong evidence of ability to fulfill the intended learning
outcomes of the course at all levels of learning: describe,
apply, evaluate and synthesis.
C+, C, C- Evidence of adequate ability to fulfill the intended
learning outcomes of the course at low levels of
learning; such as describe and apply, but not at high
levels of learning such as evaluate and synthesis.
D+, D Evidence of basic familiarity with the subject.
F Little evidence of basic familiarity with the subject.
Course Policy

Academic Conduct
The University regulations on academic dishonesty will be strictly enforced. Also, please check the
University Statement on plagiarism at http://www.hku.hk/plagiarism/

Course Outline

• Week 1
– Introduction: Evidence and Policy
– Causality and Validity Probability and Statistical Theory Review (SW Ch. 2 -3)
– Introduction to Programming Language
• Week 2
– Bivariate Regression (SW Ch. 4 – 5)
– Multivariate Regression I & II (SW Ch. 6 - 7)
• Week 3
– Nonlinear Regression models: Quadratic and Logarithms (SW, Ch. 8)
– Threats to (Internal / External) Validity (SW, Ch. 9)
• Week 4
– Midterm exam
– Regressions with binary dependent variables (SW, Ch. 11)
• Week 5
– Regressions with panel data (SW Ch. 10; Wooldridge Ch.13-14)
– Instrumental variables methods (SW, Ch. 12; Wooldridge, Ch. 15)
• Week 6
– Experiments and Quasi-Experiments (Chapter 13)
– Times series regressions and forecasting (SW, Ch. 14)
– Machine Learning (material will be distributed by instructors.)
Statistical Software and Data

The main software program for the course is R.

Datasets
• Datasets used in Stock & Watson Textbook
R-tutorial
• Econometrics with R