Subject Guide 2020 draft (July) PDF

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Econometrics 2 study guide for 2020 sem 2...

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ECOM30002/90002 Econometrics 2 SUBJECT GUIDE* Semester 2, 2020 (Canvas LMS course code: MERGE_2020_0226)

Dr David Moreton Department of Economics Faculty of Business and Economics

Note Pages 1 to 5 of this guide convey subject-specific information. After that is general (faculty/university-wide) information. *

Hyperlinks in this document can be clicked on. 0

Lecturer (subject coordinator) David Moreton, [email protected] Available for online consultation during teaching weeks on Thursdays 10am–12pm through the

Zoom

link

(computer

audio

and/or

video

(e.g.,

webcam)

required)

https://unimelb.zoom.us/j/96640635109?pwd=Z1JoUW9scG8xU05kbTlBQTRaK05Sdz09 (You should not need to enter a password, but if you’re asked to do so, it’s 390002.) To supplement (online) consultations, an online discussion forum is to be set up on LMS from week 2 for online discussion between students and/or between staff and students. So as not to undermine the shareability of this online resource, staff email will not to be used to address student queries about course content. To the extent that the online discussion forum is used to answer queries about completing assignments, answers will not be divulged or checked, but you will be helped to figure out answers by being ‘pointed in the right direction’. The same applies to consultations.

Online ‘lite’ delivery Because of the ongoing coronavirus situation, it is expected that the course will be delivered in online ‘lite’ mode. That is, face-to-face lectures and tutorials will be replaced by online ‘screencapture’ videos and online (Zoom) tutorials. It is expected that the weekly lecture videos will be uploaded to LMS (Canvas) around the scheduled lecture times (Monday afternoons and Thursday mornings). Online tutorial videos are expected to be posted weekly.

Textbooks The main textbook for the course is Stock, J.H. and M. W. Watson (2015), Introduction to Econometrics, 3rd edition.1 (Selected references to be provided during semester.) The textbook is not required reading, but may be a useful supplement to the course materials on LMS, which will contain all you need. Another useful optional textbook is Hill, R.C., W.E. Griffiths, and G.C. Lim (2018), Principles of Econometrics, 5th Edition.

Lectures Lectures will follow the lecture slides on LMS, with key concepts and ideas elaborated on verbally during lectures (and some writing on the whiteboard). 1

The same textbook is used in ECOM20001, Econometrics 1, which is one of the prerequisites for this course. 1

Lecture Schedule TOPIC 1. INSTRUMENTAL VARIABLES ESTIMATION (2SLS) Lecture 1

3 Aug

Course Introduction & Regression Interpretation

2

6 Aug

Omitted Variables Bias

3

10 Aug

Instrumental Variables

4

13 Aug

Estimating the Returns to Education using 2SLS

5

17 Aug

Simultaneous Causal Equations

6

20 Aug

Female Labour Supply and Family Size

7

24 Aug

Measurement Error

TOPIC 2. STATISTICAL PROPERTIES & STATISTICAL INFERENCE 8

27 Aug

Sampling Distribution Concepts

9

31 Aug

OLS Unbiasedness

10

3 Sep

OLS Consistency

11

7 Sep

2SLS Consistency & Standard Errors

12

10 Sep

Inference with 2SLS TOPIC 3. PANEL DATA

13

14 Sep

Introduction to Panel Data & Pooled OLS

14

17 Sep

Fixed Effects Regression

15

21 Sep

Properties and Inference for Fixed Effect Regression TOPIC 4. TIME SERIES

16

24 Sep

Introduction to Time Series & AR(1) Forecasting

17

28 Sep

Higher-order AR Models and Lag Selection

18

1 Oct

ARDL Models & OLS Time-series Properties

19

12 Oct

Unit Root Testing

20

15 Oct

Spurious Regression & Cointegration

21

19 Oct

VARs and VECMs

22

22 Oct

VAR and VECM Forecasting REVIEW

23

26 Oct

(To be confirmed) Guest Lecture or Exam Practice

24

29 Oct

Course Review

2

Tutorials Students are expected to attend their official (i.e., enrolled in) one-hour tute each week. All students should enrol in a tute through My Timetable: https://students.unimelb.edu.au/yourcourse/manage-your-course/class-timetable For sorting class registration (or other) problems, another useful link might be https://students.unimelb.edu.au/stop1 Tutes start in week 1 (which begins Monday 3 August). Tute attendance is not recorded. Tutes are primarily designed to practice and apply the econometric techniques covered in lectures. Tute questions are divided into two parts, A and B. Students are expected to complete Part A questions before their tute (except for week 1, which is too early); this constitutes tute preparation. Students are advised to bring along to each tute the results of their preparation. Part B questions follow on from, develop and/or extend Part A questions and are covered during the tute. Most tute tasks involve undertaking regression analysis using R Studio (the designated software for the course) but there will also be conceptual and discussion questions and a few derivation exercises. To assist with the R-Studio preparatory work, ‘copy–pastable’ computer code will be provided for, and in advance of, each tute. This ensures that all students have access to the computer code for use in class well beforehand. That said, students can (if they wish) come up with their own code based on the course materials provided (including instructional YouTube videos), which represents a good opportunity to learn and practice.

Assessment Below is an overview of the assessment.2 Assessment task

Expected release date

Due date (online, 8am)

Weighting

Assignment 1

Friday 7 August

Monday 24 August

7.5%

Assignment 2

Friday 21 August

Monday 7 September

7.5%

Assignment 3

Friday 11 September

Monday 28 September

7.5%

Assignment 4

Friday 9 October

Friday 26 October

7.5%

Exam

University’s official exam period

2

70%

As stipulated by the University of Melbourne handbook, assignments are due in weeks 4, 6, 9 and 12. 3

Assignments Detailed information and submission instructions relating to the assignments will be released along with them. For now: •

Assignments must be submitted online through LMS.

•

Assignments should be submitted as typed Word documents or PDFs.

•

Assignments can be completed individually (on your own) or by a group (of up to four students). Students in the same assignment group do not have to be from the same tute. No marks will be awarded for assignments completed by groups of more than four students.

•

Assignments are marked out of 50.

•

Assignments submitted late (for whatever reason) incur a five-mark per hour late penalty. (There are no assignment extensions.) This is so that feedback in the form of LMS-posted suggested answers can be provided promptly. Students who have valid reasons for being unable to submit an assignment by the due date and time can apply for special consideration to have the assessment weighting for that assignment transferred to the final exam. The special consideration link is below. http://students.unimelb.edu.au/admin/special (Such applications must be made no longer than four days past the due date)

Exam An end-of-semester exam, worth 70% of the overall assessment, will be based on the material covered during lectures, tutorials and assignments throughout the semester. The exam will take place during the university’s normal end of semester assessment period (specified in the university’s key dates; see https://www.unimelb.edu.au/dates), with details provided by the university’s administration system later in the semester. Hurdle requirement (university policy): students must pass the exam to pass the subject. At the time of writing (July 2020), it is expected that the exam will be online. As such, it is anticipated that the exam will effectively be open book, which means that any available resources can be used during the exam.

Computer software The software used on the course is R Studio, which can be downloaded for free from the web. First, one has to install R and then R Studio, for an easy-to-use interface. 4

To install R on a Mac, visit https://cran.r-project.org/bin/macosx/ then click R-4.0.2.pkg then download and install To install R on a PC, visit https://cran.r-project.org/bin/windows/base/ then click Download R 4.0.2 for Windows then download and install To install R Studio, visit https://www.rstudio.com/products/rstudio/download/ then scroll down to All Installers, then click on one of the first two links (Windows 10/8/7 or macOS10.13+) depending on your operating system, then download and install

R Studio is command driven rather than ‘point-and-click’, but there will be plenty of screenshots in the lectures slides for guidance as well as links to instructional YouTube videos on LMS, released periodically. A useful search engine for R commands can be found at https://rseek.org/

Other useful links You might find useful additional subject-specific information from the links below (mainly from the 2020 handbook). (General information) https://handbook.unimelb.edu.au (search for “ecom30002”) (Subject objectives) https://handbook.unimelb.edu.au/2020/subjects/ecom30002 (Eligibility and requirements) https://handbook.unimelb.edu.au/2020/subjects/ecom30002/eligibility-and-requirements (Online timetable) https://sws.unimelb.edu.au/2020

The remainder of this guide presents faculty/university-wide information.

5

Non-subject-specific information (from Faculty of Business and Economics) Private Tutoring Services The Faculty of Business and Economics (FBE) has become increasingly concerned about the existence of a number of private tutoring services operating in Melbourne that heavily target University of Melbourne students enrolled in FBE subjects. Students are urged to show caution and exercise their judgement if they are considering using any of these services. Any claim by any of these businesses that they have a “special” or “collaborative” or “partnership” style relationship with the University of Melbourne or FBE is false and misleading. Any claim by a private tutoring service that they are in possession of, or can supply you with, forthcoming University of Melbourne exam or assignment questions or “insider” or “exclusive” information is also false and misleading. The University of Melbourne has no relationship whatsoever with any of these services and takes these claims very seriously as they threaten to damage the University of Melbourne’s reputation and undermine its independence. It is also not appropriate for students to provide course materials (including University of Melbourne curricula, reading materials, exam and assignment questions and answers) to operators of these businesses for the purposes of allowing them to conduct commercial tutoring activities. Doing so may amount to misconduct and will be taken seriously. Those materials contain intellectual property owned or controlled by the University of Melbourne. We encourage you to bring to the attention of FBE staff any behaviour or activity that is not aligned with University of Melbourne expectations or policy as outlined above.

Academic Integrity The University of Melbourne maintains high academic standards in its courses and subjects and expects students to conduct themselves in a manner which is fair, honest and consistent with the principles of academic integrity, particularly when undertaking assessment and research. http://academicintegrity.unimelb.edu.au

6

University Services a)

My Timetable

MyTimetable is a class timetabling system that creates individual timetables for students based on submitted class preferences, ensuring everyone has an equitable opportunity of getting their preferred class timetable. You will use this system to create your class timetable prior to each study period. By following a preference-based model, students who have other commitments, such as employment or carer responsibilities, or who are returning or living overseas during the timetabling period, are not disadvantaged by their limited availability. When allocating class timetables, MyTimetable also takes into consideration factors such as class size limits and potential clashes to ensure all students are equally accommodated. Further information is available on the web at https://students.unimelb.edu.au/admin/class-timetable b)

Stop 1: Connecting Students and Services

Stop 1 is here to provide you with a range of support services throughout your university degree, from help with enrolment, administration and wellbeing to advice on building your skills and experiences. https://students.unimelb.edu.au/stop1 c)

Academic Skills

Academic Skills offers a range of workshops and resources to help you with study skills including researching, writing and referencing, presentation skills and preparing for exams. Visit their website via http://services.unimelb.edu.au/academicskills d)

Service Finder

The University of Melbourne offers one of the most comprehensive student support networks in

Australia.

Use

this

site

to

locate

a

wide

range

of

services

http://services.unimelb.edu.au/finder e)

Student Counselling

Students attend counselling to talk about personal, emotional, or mental health issues that might be affecting their study and life. The University of Melbourne’s Counselling and Psychological Services (CAPS) provides free, confidential, short-term professional counselling to currently enrolled students and staff. https://services.unimelb.edu.au/counsel/individual f)

Student Equity and Disability Support

Student Equity and Disability Support provides services for students who need ongoing support with their studies. They understand that adjustments to learning and assessment are sometimes required to allow all students to reach their full potential. Learn more about the services provided how to find support and how to register for assistance. 7

http://services.unimelb.edu.au/student-equity g)

University of Melbourne Library Services

As well as holding an extensive collection of books, e-books, digital media and periodicals, library staff provide research guidance and support for students. http://library.unimelb.edu.au Business and Economics Library Guides have been designed specifically for FBE staff and students: http://unimelb.libguides.com/sb.php?subject_id=80310

University Policies a)

Alternative Exam Arrangements (AEAs)

The definition of, and eligibility requirements for, alternative exam arrangements (AEAs) can be found at http://students.unimelb.edu.au/admin/alternate b)

Assessment and Results Policy

The University of Melbourne’s assessment policy provides a framework for the design, delivery and implementation of assessment of students in award and non-award courses and subjects. Assessment is designed to contribute to high quality learning by students, and to allow for quality assurance and the maintenance of high academic standards. https://policy.unimelb.edu.au/MPF1326 c)

Exam Policy

The University of Melbourne requires that you are available for the entire examination period. For the full annual calendar, see http://www.unimelb.edu.au/dates#2020. Supplementary exams will not be provided in cases of absence during the examination period unless the absence is due to serious illness or other serious circumstances and a Special Consideration application is submitted and approved. d)

Information on Calculators in Examinations

Effective from 1 January 2017, the approved calculator for all subjects is the Casio FX82 (any suffix). No equivalent models of calculators will be permitted in exams. You are required to purchase your own calculator and are responsible for ensuring your calculator is in good working order with fresh batteries. e)

Plagiarism and Collusion

Plagiarism (failure to cite your sources correctly and completely) and collusion (unauthorized collaboration with another person to prepare an assessment task) are considered academic misconduct and attract severe penalties. More information is available on the University of Melbourne’s Academic Integrity website: http://go.unimelb.edu.au/rha6

8

f)

Special Consideration

As a student, you may experience extraordinary or unusual circumstances, or ongoing circumstances that adversely affect your academic performance. The University of Melbourne has policies in place to support students who are experiencing academic disadvantage. For more information, visit http://students.unimelb.edu.au/admin/special

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