Syllabus of intoduction to econometrics PDF

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This is the syllabus of Introduction to Econometrics in 2022 spring. This is maybe helpful to someone trying to take the class....

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! Economics

ECON UN3412 Spring 2022, section 1

Introduction to Econometrics Lecturer: Michael Carlos Best, [email protected] Class meetings: Tuesdays and Thursdays 2:40 – 3:55 PM. Location: 717 Hamilton Hall. For the first two weeks we will meet by zoom at this link. Office hours: Tuesdays 4 – 5.15 PM. By Zoom at this link. Required Textbooks: 1. Stock, James H. and Watson, Mark W. Introduction to Econometrics, 4th ed. Pearson 2019. (3rd ed is also fine) 2. Angrist, Joshua and Pischke, Jörn-Steffen. Mastering 'Metrics: The Path from Cause to Effect, Princeton University Press 2014. Recommended Textbooks: Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach, (7th edition) South-Western Publishing, 2020. TEACHING ASSISTANTS: The Teaching Assistants for this section are 1. Michelle Jiang ([email protected]) 2. Haoyu Zhou ([email protected]) 3. Umar Ali ([email protected]) The Teaching Assistants for the other sections are 1. Lauri Ojala ([email protected]) 2. Abigail Casazza ([email protected]) 3. Andrew Loevinger ([email protected]) 4. Roman Rivera ([email protected]) 5. Guy Aridor ([email protected]) 6. Richard He ([email protected]) TAs will hold regular recitations and office hours. Time and location are TBD and will be posted on the Courseworks Home Page. You are strongly recommended to sign up for UN3413 INTRO TO ECONOMETRICS-DIS. It is recommended to take recitations from the Tas in this section. However, you may choose Tas from other sections if it suits your schedule better. COURSE DESCRIPTION: Economics UN3412 introduces students to multiple regression and related methods for analyzing data in economics and related disciplines. Additional topics include regression with discrete random variables, instrumental variables regression, analysis of random experiments and quasi-experiments. Students will learn how to conduct – and how to critique – empirical studies in economics and related fields. Accordingly, the emphasis of the course is on empirical applications.

Michael Carlos Best 1022 International Affairs Building

1 Mail Code 3308

420 West 118th Street

Last updated: 1/14/22 New York, NY 10027

212-854-3680

Economics

The mathematics of econometrics will be introduced only as needed and will not be a central focus. Students seeking a treatment of econometric theory with a higher level of mathematics should take Economics W4412. Prerequisites: Economics UN3211 OR UN3213 (Intermediate Microeconomics or Macroeconomics); Mathematics UN1201 (Calculus III); and Statistics UN1201 (Introduction to Probability and Statistics with Calculus). ASSIGNMENTS: There will be seven problem sets for the class, each of which involves empirical analysis. The course statistical software is STATA. You may purchase STATA through Columbia at a reduced academic price but this is strictly optional. Stata/IC (Stata for mid-sized datasets) is sufficient for this course. Columbia has a discount if you want to rent it for 6 months. If you prefer not to buy the license, there are computer labs on campus with Stata, the closest one is in Lehman Library (the Digital Social Science Center). Since you may not be on campus, you may not be able to access the library. CUIT has set up remote access to library computers. You can see the instructions here: https://cuit.columbia.edu/computer-lab-technologies. There are quite a few steps so make sure to set this up well in advance of your problem set deadlines! Problem sets and data will be posted on Courseworks. Please hand in your homework assignments at the time (or before) they are due through Gradescope. You will need to sign up to Gradescope ahead of time. There is a document posted that explains how to submit homework to Gradescope, please read this document ahead of time so that you do not miss the due date due to technical difficulties. Problem sets that are submitted after the time they are due but before solutions are posted will receive 50% credit. Assignments handed in after solutions are posted on Courseworks will not be graded. Each student must submit their own work. In case of collaboration the grade will be divided among students. GRADING: Teaching assistants will grade problem sets and your lowest grade out of the seven problem sets will be dropped. We will calculate your average problem set grade by averaging the six highest problem set grades. Let this number be PS. There will be one midterm exam, which will take place on Thursday March 10th 2:40-3:55 PM. You will receive a grade out of 100 (denote this grade MT). There will be no make-up midterm exams, but the midterm will be given less weight if you do better in the final. The final exam will receive a grade out of 100 (call it FI). There will be occasional (possibly unannounced) quizzes during the semester. Missed quizzes will not be made up. The average of quizzes will amount to a grade out of 100 (call it QU). The overall course grade (CG) will be determined as: 𝑪𝑮 = 𝟎 .05'*'QU '+'0.𝟑𝟎 ∗ 𝑷𝑺 + 𝟎.𝟑𝟎 ∗ 𝒎𝒊𝒏{𝑴𝑻, 𝑭𝑰} + 𝟎.35 ∗ 𝒎𝒂𝒙{𝑴𝑻, 𝑭𝑰} Michael Carlos Best

2

Last updated: 1/14/22

! 1022 International Affairs Building

Mail Code 3308

420 West 118th Street

New York, NY 10027

212-854-3680

Economics

If you have any questions for me or for TAs, please ask them through Ed Discussions. This way your classmates can see our answers as well. The system is highly effective at getting you help fast and efficiently from TAs and myself. Rather than emailing us questions, I strongly encourage you to post your questions on Ed Discussions. You can find our class page at this link (you can also access it through Courseworks) Please be respectful in your tone at all times when communicating with each other, the TAs or instructors, whether on Ed Discussions, by email, or in person. Disrespectful language will not be tolerated. CLASS SCHEDULE: # 1

Date Jan

2 3 4 5 Feb 6 7 8 9 10 11 12 13 Mar 14 15

Day

18 Tue 20 25 27 1 3 8 19 15 17 22 24 1 3 8 10

Thu Tue Thu Tue Thu Tue Thu Tue Thu Tue Thu Tue Thu Tue Thu

16 17 18

15 17 22 24 29

Tue Thu Tue Thu Tue

19 20 Apr 21 22 23 24 25

31 5 7 12 14 19 21

Thu Tue Thu Tue Thu Tue Thu

26 27

26 Tue 28 Thu TBD

Topic Introduction, Experiments and Statistics I Experiments and Statistics II Experiments and Statistics III Experiments and Statistics IV Bivariate regression I Bivariate regression II Bivariate regression III Multiple regression I Multiple regression II Multiple regression III Nonlinear models I Nonlinear models II Assessing regression studies I Assessing regression studies II Midterm Exam Review Midterm Exam SW chapters 1-9 & AP chs 1-2

Readings SW AP 1, 2, 3, 13 1 1, 2, 3 1, 2, 3, 13 1, 2, 3, 13 4, 5 4, 5 4, 5 6, 7 6, 7 7 8 8 9 9

1 1 1 2 2 2 2 2 2

Problem Sets Posted Due

PS 1 PS 2

PS 1

PS 3

PS 2

PS 4

PS 3 PS 4

Spring Break Binary dependent variables I Binary dependent variables II Prediction with many regressors, Big data Instrumental variable regression I Instrumental variable regression II Instrumental variable regression III Regression discontinuities I Regression discontinuities II Panel data I Panel data II and Difference in differences I Difference in differences II Final Exam Review Final Exam SW chapters 10-14 & AP chs 3-5

Michael Carlos Best

11 11 14

PS 5

12 12 12

3 3 3 4 4

10 10, 13

5

13

5

3

PS 6

PS 5

PS 7

PS 6

PS 7

Last updated: 1/14/22

! 1022 International Affairs Building

Mail Code 3308

420 West 118th Street

New York, NY 10027

212-854-3680...