Keene State College

ECON 420-1 ECONOMETRICS Spring Semester 2005 MW 3:00 - 4:20, Science 127

Instructor: Patrick Dolenc Office: Rhodes 260 Phone: 358-2629 (Check in the event of inclement weather) E-Mail: [email protected] Office Hrs: Mon & Wed 2:00 - 3:00 or by appointment

Text: A.H.Studenmund, Using Econometrics: A Practical Guide, (Addison-Wesley, either the 3rd edition or the 4th edition).

Website: http://keene.blackboard.com

Course Description: This course provides an introductory survey of econometric theory and its application to real world phenomena. We will explore the use of this analytical tool to quantify relationships, test hypotheses, and forecast unknown events. You will also develop a working knowledge of econometric software and apply that knowledge to a detailed study of a specific topic. The prerequisites of ECON 201-202 and MATH 141 assume that you bring to the course a background in basic economic theory as well as introductory statistics.

Course Grades: Your course grade will be determined by:

Three Exams (150 points each) 450 Four Problem Sets (50 points each) 200 Ten Quizzes (15 points each) 150 Course Project 150 Project Presentation 50 1000

Final grades will be based upon the following scale (any adjustments to this scale will be to your advantage):

93% & above: A 88% to 92%: AB 83% to 87%: B 78% to 82%: BC 73% to 77%: C 68% to 72%: CD 60% to 67%: D Exams: Exams include problem solving, analyzing econometric results, and answering questions on econometric theory. Study guides will be provided prior to each exam. Although the final exam is not comprehensive, the end-of-semester material assumes an understanding of concepts covered earlier in the course.

Problem Sets: Out-of-class assignments provide an opportunity to practice econometric analysis using actual and hypothetical data. Although you are encouraged to discuss course material with classmates, anything with your name on it must be your own work.

Quizzes: Quizzes focus on the assigned reading. Complete each reading assignment before the class it is scheduled for discussion. Quizzes are open notes (your own), but not open book. I drop your lowest quiz score.

Class participation: The combination of regular attendance and active participation in classroom discussions can boost a borderline course grade.

Course Project: The course project is intended to provide a deeper understanding of the practical application of econometric techniques to economic topics. Each member of the class will be assigned a partner and each team will develop a research topic in consultation with me. Several deadlines throughout the semester should keep you on track and provide you with feedback as your work progresses. During the last week of the semester each team will give a brief presentation of their topic and describe the results of their econometric study. The final project should be about ten to fifteen typed, double-spaced pages of text plus diagrams, data and model appendices. To be eligible for full credit, the final project must be submitted by 5:00 p.m. on Monday, May 2nd. Late projects will be penalized 10% per 24-hour period. No projects will be accepted after 5:00 p.m. on Friday, May 6th.

Makeup policy: Makeup quizzes will not be available and makeup exams will only be given under extraordinary circumstances. If you encounter a situation beyond your control and can provide written documentation verifying your circumstances, see me as soon as possible to schedule a makeup exam without penalty.

Academic Honesty: This class will follow the Keene State policy on academic honesty, therefore "... work presented as a student's own, must, indeed, be that student's work, created by that student without unacknowledged aid or sources." Exams and quizzes must be taken without assistance (other than the "open notes" provision for quizzes), problem sets must be done individually and course projects must contain appropriate citations. Violation of this policy will affect your grade and could possibly result in a failing course grade. For a detailed discussion of the College Policy, please refer to the Keene State College Student Handbook.

If you have questions on these or other matters, please do not hesitate to ask. COURSE OUTLINE

Assigned readings are for the 4th edition (3rd edition in parentheses.) Complete each reading assignment prior to its scheduled class session.

(Jan 19) Course Introduction

(Jan 24) Statistics Review

(Jan 26) Overview of Regression Analysis Reading: chapter 1 (chapter 1)

(Jan 31) Introduction to Ordinary Least Squares Reading: pages 34-41 (pages 34-42)

(Feb 2) Measuring "Goodness of Fit" Reading: pages 41-56 (pages 43-58)

(Feb 7) Topic Assignments Reading: pages 63-72 (pages 66-75)

(Feb 9) Data Analysis using Excel Reading: pages 72-78 (pages 75-80)

(Feb 14) The Classical Model Reading: chapter 4 (chapter 4)

(Feb 16) Review Problem Set #1 due at the beginning of class

(Feb 21) MIDTERM EXAM #1

(Feb 23) Hypothesis Testing Reading: pages 112-120 (pages 123-135) Literature Reviews for Projects due at the beginning of class

(Feb 28) t-Tests Reading: pages 120-142 (pages 135-156)

(Mar 2) Omitted Variables Reading: pages 156-164 (pages 170-179)

(Mar 7) Irrelevant Variables and Specification Criteria Reading: pages 165-181 (pages 80-82 & 179-195) Problem Set #2 due at the beginning of class

(Mar 9) Case Study Reading: handout * * * Week of March 14th through March 18th – Spring Break * * *

(Mar 21) Functional Forms Reading: pages 198-216 (pages 212-232)

(Mar 23) Working with Dummy Variables Reading: pages 212-225 (pages 82-85 & 232-240)

(Mar 28) Review Problem Set #3 due at the beginning of class

(Mar 30) MIDTERM EXAM #2

(Apr 4) Multicollinearity Reading: pages 243-255 (pages 259-272) Initial Project Computer Results due at the beginning of class

(Apr 6) Detecting and Correcting Multicollinearity Reading: pages 255-272 (pages 272-290)

(Apr 11) Serial Correlation Reading: pages 310-324 (pages 329-343)

(Apr 13) Durbin-Watson and Serial Correlation Correction Reading: pages 324-335 (pages 344-356)

(Apr 18) Heteroskedasticity Reading: pages 345-355 (pages 366-377)

(Apr 20) Detecting and Correcting Heteroskedasticity Reading: pages 355-376 (pages 377-398) Problem Set #4 due at the beginning of class

(Apr 25) Project Presentations (everyone is expected to attend both days)

(Apr 27) Project Presentations (everyone is expected to attend both days)

(May 2) Papers due by 5:00 p.m.

Friday, May 6th 1:00 to 3:00 p.m. -- FINAL EXAM