Econometrics 2018 Fall

General Information

• Course Number: C120727
• Lectures: Friday 12:55-16:00 at S207
• Office Hour: Wednesday 14:00-16:45pm or by appointment
• Office: Antai 1706
• Phone: 021-52301191
• My email: jhqian At sjtu.edu.cn

Objectives

This course introduces econometrics to graduate students in business. The course covers linear regression with cross-section, time series, and panel data. Both theory and practice are emphasized. At the end of this course, students should be able to do basic empirical research in economics and business.

Prerequisites

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

Lectures

1. Introduction to econometrics
2. Linear regression
3. Statistical testing on linear regression
4. Diagnostics and model selection
5. Special variables
6. Dealing with endogeneity
7. Panel data models

Problem Sets

• ps1 ps2 ps3 ps4

Labs

• lab1 (myols.m, test_myols.m, engel.csv, cgss05.csv)
• lab2 (cgss05.csv)
• lab3 (test_asymptotics.m)
• lab4 (macrodata.xls, predict_cpi.m, predictlasso.m, predar1.m)
• lab5 (monetarypolicy.xlsx, structb.rar)
• lab6 (mroz87.txt)
• lab7 (ekcpanel.mat)

Grading

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

Reference Books

• Introduction to Econometrics: A Modern Approach, J.M. Woodridge, Cengage Learning.
• Econometric Analysis, W.H. Greene, Prentice Hall
• Mastering 'Metrics: The Path from Cause to Effect, Angrist J.D., Pischke J.S., Princeton University Press