Econometrics 2014 Fall

General Information

• Course Number: EC310
• Lectures: Mondays 14:00-15:45am at DongZhongYuan 1-104
• Computer Labs: Computation Center, Week 5, 8, 12, 14, 16
• Office Hour: Wednesday 14:00-16:45pm or by appointment
• Office: North Building #413, Antai Campus
• Phone: 021-52301191
• TA: Wan, Xiaoyuan (wanxiaoyuan@hotmail.com)
• Course email: sjtu.econometrics At gmail.com (You should send all lab reports to this address)
• My email: junhuiq At gmail.com

Objectives

EC310 is an introductory course in econometrics. The course covers linear regression with cross-section and time series data. Both theoretical study and lab practice are emphasized. At the end of this course, students are expected to be able to conduct basic empirical research in economics and finance.

Prerequisites

• Introductory microeconomics and macroeconomics, calculus, statistics, linear algebra

Lectures

1. Introduction to econometrics
2. Linear regression, the model and its estimation
3. Diagnostics of linear regression
4. Inference on linear regression
5. Regressions with special variables
6. Dealing with endogeneity

Labs

1. Introduction to Eviews and implementation of OLS (5)
   • Notes and assignments: Introduction2EViews.docx lab01.pdf
   • Data sets: cgss05.csv engel.dat
2. Estimation and diagnostics (8)
   • Notes and assignments: UsingMatlab.doc lab02.pdf
   • Data sets: cgss05.csv nerlove1.csv engel.dat
   • Matlab program: myols.m test_myols.m
3. Hypothesis testing (12)
   • Assignment: lab03.pdf
   • Data sets: cgss05.csv dairy.dat basichem.dat vote1.csv
4. Regression with special variables (14)
• Assignment: lab04.pdf
• Data sets: cgss05.csv dairy.dat mroz87.txt
• Matlab program: lab04.m
• Answer: lab04_key.pdf
5. Instrumental variable estimation and testing (16)
   • Assignment: lab05.pdf
   • Data sets: wage2.csv murder.csv
   • Matlab program: iv.m tsls.m panelfe.m test_wage2.m test_ murder.m
   • Answer: lab05_key.pdf

Problem Sets

• ps1 ps2 ps3 ps4 ps5 ps6 ExamPreparation

Grading

• Class participation (10%), lab and problem sets (30%), final exam (60%).

Textbooks

• Introduction to Econometrics: A Modern Approach 3rd Ed., J.M. Woodridge, Cengage Learning.

Last updated: Sep 14, 2014