Published Apr 25, 2023
This course covers the core topics needed to estimate linear models using ordinary least squares and to interpret estimates for cross-sectional data. Students will learn to interpret the coefficients of linear models for continuous and discrete regressors, to conduct reliable inference for different specifications of the error term, and to determine which model is the most suitable among the class of linear models. Students will be introduced to a statistical software package and will be required to complete regular computer-based assignments throughout the course using economic data.
Prereq: ECON 221; or for Mathematics students ECON 101, 102 or ECON 100/COMM 103 and one of STAT 220, 230, 240; or for Accounting students ECON 101, 102, STAT 211. Antireq: ECON 321
Week 1: Introduction (Appendix B and C). Overview of important statistical concepts
Week 2: The Simple Regression Model (Chapters 1 and 2). Discussion on the different types of data, estimation of models with 1 regressor,
and the interpretation of a regression.
Week 3: Multiple Regression model (Chapter 3). Issues regarding data and model selection.
Week 4: Inference (Chapter 4). Tests of single and multiple linear restrictions
Week 5: Asymptotic properties of the OLS estimators (Chap. 5). Analysis of the properties of the estimators when the sample size increases
Week 6: Functional forms and forecasting (Chap. 6). Discussion on how to choose the functional form, and the forecasting of the dependent
variable.
Week 7: Regression with dummy variables (Chap. 7) Including unquantifiable information in a regression: the qualitative variables
Week 8: Generalized linear models: Heteroscedasticity ( Chap: 8). The properties of OLS with heterogenous error terms, and the weigthed least quares (WLS) method
Week 9: Misspecification ( Chap: 9). Measurement errors, missing data, and functional form misspecification
| Title / Name | Notes / Comments | Required |
|---|---|---|
| Laptop | You'd need R for the class | Yes |
| Wooldridge, Jeffrey M. Introductory Econometrics A Modern Approach, 7th Edition | Optional Textbook | No |
| Heiss, Florian, Using R for Introductory Econometrics, CreateSpace 2016 | It is available online for free at http://www.urfie.net/read.html, or it can be purchased at Amazon.ca) | No |
| Component | Value |
|---|---|
| Assignments | 25% (weekly) |
| Midterm Exam 1 | 20% (week of June 5th) |
| Midterm Exam 2 | 20% (Week of July 3rd) |
| Final Exam | 35% (TBD) |
None
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Important notes
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