Econometrics 3412 Syl Spring 2016

Columbia University
Department of Economics
Spring 2016
ECON W3412, Tues/Thurs Section

Introduction to Econometrics
Professor: Seyhan Erden, PhD seyhan.erden@columbia.edu
Class meets on Tuesdays and Thursdays at 1:10pm 2:25 pm at 310 Fayerweather
Office hours: Wed 4:10 5:10pm and Thurs 2:45 4:00pm
Office: 1018 International Affairs Building
Required Textbook: Stock, James H. and Watson, Mark W. Introduction to Econometrics, Addison
rd
rd
Wesley Publishing, (3 edition) 2011, or 3 edition with update, 2015
Recommended Textbook: Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach,
th
South-Western Publishing, (4 edition) 2009.
Teaching Assistants:
Names and email addresses will be on CourseWorks.
Teaching Assistants will hold 75 min recitation and two-hour office hours per week
COURSE DESCRIPTION:
Economics W3412 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, and
regression with time series data. 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. 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. Prerequisite: Economics W3211 OR W3213 (Intermediate
Microeconomics or Macroeconomics); Mathematics V1201 (Calculus III); and Statistics W1211
(Introduction to Statistics).
ASSIGNMENTS:
There will be weekly problem sets, 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. Problem sets and data will be posted on the course Web page. Please hand in your
homework assignments at the beginning of class the day they are due (within the first 5 minutes) to
receive full credit. Problem sets that are handed in after the beginning of class but before solutions are
posted will receive 50% credit. Assignments handed in after solutions are posted on Courseworks will not
be graded. Solutions are posted every Wednesday at 9 pm. Late assignments are NOT accepted under
any circumstances.
GRADING
Teaching assistants will grade problem sets and the lowest grade out of 9 problem sets will be dropped.
At the end of the semester, teaching assistants will report the average problem set grade by averaging
the highest 8 problem set grades. Let this be PS. The PS grade will always count in the overall grade
even if you do better in the final. There will be one midterm exam, which will take place on Tuesday
th
October 27 in class. 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). The overall course grade (CG) will be determined like this:
= . + . {, } + . {, }
We will be using Piazza for class discussion. The system is highly catered to getting you help fast and efficiently from classmates,
the TA, and myself. Rather than emailing questions to the teaching staff, I encourage you to post your questions on Piazza. Find our
class page at: https://piazza.com/columbia/spring2016/econw3412_003_2016_3/home
CLASS SCHEDULE:
Lect # Date/Day
1
Topic
Jan. 19 Tues Introduction and Review of Statistics I
Readings:
Problem Sets:
SW Ch. #
Posted Due
1, 2, 3
21 Thurs Review of Statistics II
1, 2, 3
26 Tues Review of Statistics III; Bivariate regression I
2, 3, 4
28 Thurs Bivariate regression II
4, 5
Feb. 2 Tues Bivariate regression III
4, 5
4 Thurs Multiple regression I
6, 7
9 Tues Multiple regression II
6, 7
11 Thurs Multiple regression III
16 Tues Nonlinear models I
10
18 Thurs Nonlinear models II
11
23 Tues Nonlinear models III
12
25 Thurs Assessing regression studies I
13
Mar. 1 Tues Assessing regression studies II
14
15
3 Thurs Panel data I & midterm review
10
8 Tues
Midterm
10 Thurs Panel data II
PS#1
PS#2
PS#1
PS#3
PS#2
PS#4
PS#3
PS#5
PS#4
PS#5
10
15 Tues Spring Break

17 Thurs Spring Break
16
22 Tues Panel data III, Binary dependent variable I
10,11
17
24 Thurs Binary dependent variable II
11
18
29 Tues Binary dependent variable III
11
19
31 Thurs Instrumental variable regression I
12
20
Apr. 5 Tues Instrumental variable regression II
12
21
7 Thurs Instrumental variable regression III, Experiments
PS#6
PS#7
PS#6
PS#7
12, 13.1 13.3
22
12 Tues Experiments, Time series regression I
13.4, 13.5, 14.1 PS#8
23
14 Thurs Time series regression II, Forecasting
14.2 14.4
24
19 Tues Time series regression III, Dynamic Causal Effects 15
25
21 Thurs Time series regression IV, Vector Autoregression
16
26
26 Tues Time series regression V, Vector Autoregression
16
27
28 Thurs Review for Final Exam.
PS#9
PS#8
PS#9
Last updated on January 11, 2016

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Columbia University

ECON W3412, Tues/Thurs Section

Jan. 19 Tues Introduction and Review of Statistics I

21 Thurs Review of Statistics II

26 Tues Review of Statistics III; Bivariate regression I

28 Thurs Bivariate regression II

Feb. 2 Tues Bivariate regression III

4 Thurs Multiple regression I

9 Tues Multiple regression II

11 Thurs Multiple regression III

16 Tues Nonlinear models I

18 Thurs Nonlinear models II

23 Tues Nonlinear models III

25 Thurs Assessing regression studies I

Mar. 1 Tues Assessing regression studies II

3 Thurs Panel data I & midterm review

10 Thurs Panel data II

15 Tues Spring Break

22 Tues Panel data III, Binary dependent variable I

24 Thurs Binary dependent variable II

29 Tues Binary dependent variable III

31 Thurs Instrumental variable regression I

Apr. 5 Tues Instrumental variable regression II

7 Thurs Instrumental variable regression III, Experiments

12, 13.1 13.3

12 Tues Experiments, Time series regression I

13.4, 13.5, 14.1 PS#8

14 Thurs Time series regression II, Forecasting

19 Tues Time series regression III, Dynamic Causal Effects 15

21 Thurs Time series regression IV, Vector Autoregression

26 Tues Time series regression V, Vector Autoregression

28 Thurs Review for Final Exam.

Last updated on January 11, 2016

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