ECON324-15S1 (C) Semester One 2015

Econometrics

15 points

Details:
Start Date: Monday, 23 February 2015
End Date: Sunday, 28 June 2015
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Sunday, 8 March 2015
  • Without academic penalty (including no fee refund): Sunday, 24 May 2015

Description

Advanced regression techniques. Estimation of simultaneous equations. Cross section methods.

This course teaches advanced skills in practical econometrics.  Our coverage will include the following topics: OLS, FGLS, robust standard errors, panel data, Stata programming, writing .do files, Monte Carlo experiments, simulations, time series, auto-regressive distributed lag models, spurious regression, nonstationarity, testing for unit roots, cointegration, testing for cointegration, and estimation of error correction models.  While the course will present some theory, the emphasis in this class is on doing.  A distinctive characteristic of the class is that we will illustrate key concepts using computer simulations so that students can “see” the practical consequences of the issues they are studying.

Learning Outcomes

  • Learning Goals.  In this course you will learn:
  • how to use Stata.
  • how to estimate linear relationships using OLS and FGLS estimators.
  • how to interpret regression output
  • how to test linear hypotheses about regression coefficients, and know how to interpret those tests
  • the consequences of “nonspherical errors” (heteroskedasticity, serial correlation, and cross-sectional correlation) and estimation procedures for dealing with these problems
  • the problems caused by endogeneity and some methodologies for dealing with this problem
  • some of the opportunities and challenges offered by panel data and associated estimation strategies
  • some of the opportunities and challenges offered by time series data
  • the problems arising from estimating models with lagged dependent variables
  • about nonstationarity and spurious regression
  • tests for nonstationarity and cointegration
  • how to estimate short-and long-run economic relationships using error correction models
  • basics of computer programming
  • how to write computer simulations

Prerequisites

(1) ECON213 or STAT213; and (2) MATH102 or MATH199

Course Administrator

Bob Reed

Lecturer

Bob Reed

Assessment

Assessment Due Date Percentage 
weekly assignments 10%
Final Exam 35%
First Term E-views test 25%
Second term E-views test 30%

Course links

Course Outline

Indicative Fees

Domestic fee $737.00

International fee $3,125.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

For further information see Department of Economics and Finance .

All ECON324 Occurrences

  • ECON324-15S1 (C) Semester One 2015
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