Econometrics

Econometrics I (fall 2018)

This is the support page for Econometrics I (Applied Econometrics with R, fall 2018). You can find materials (slides, sample programs, assignments) and other information for the course.

As a preparation for this course, you need to install R and related programs in your own laptop computer and bring it to the classroom. Here is a brief guide of how to install the programs. We are going to use it from the second lecture.


Course Information

Time and classroom: Tue 19:00 - 21:20, A410
Textbook:
《计量经济学:第三版》英文版,斯托克、沃森著,格致出版社,2013. ISBN: 978-7-5432-2227-4.
Amazon: https://www.amazon.cn/dp/B00R7EEEUY/
当当网: http://product.dangdang.com/23621137.html
京东: https://item.jd.com/11583008.html
Instructor: Dr. Jia-Ping HUANG
E-mail: huangjp #at# szu . edu . cn
Office hours: Mon/Tue 13:00 - 14:00
Grading: assignments (4 × 10%) + reading report (10%) + final exam (50%)


Schedule and Materials


Assignments

Assignment 1: R programming

Assignment 2: Multiple linear regression

Use the California Test Score dataset (caschool.xlsx) to explain test scores (testscr) by other variables. Take the single regression on student-teach ratio (str) as the base specification. You can include other variables from the dataset to build alternative specifications.

Perform multiple linear regression analysis for the base specification and three alternative specifications that are not given in Table 7.1 (page 280). Answer the following questions.

Write a report with MS-Word and submit it by email before 2018-11-20 19:00.

Assignment 3: Using econometrics in research

Suppose you want to investigate the effect of export on the economic development of a country using econometric methods. You may need to think the following questions:

  1. What variables are you going to use as independent and dependent variables?
  2. Which kind of data as well as regression models you are going to use?
  3. Which kind of estimation biases you need to consider? How can you get rid of them?

Answer the above questions (either in Chinese or in English) within one page. Submit your report in a PDF file by email before 2018-12-11 19:00.


Reading Report and Journal List

Journal list (not a ranking)


Useful References

  1. Studenmund, A. H., Using Econometrics: A Practical Guide, 6th Edition, Pearson, 2011.
  2. Kleiber, C. and Zeileis, A., Applied Econometrics with R, Springer, 2008.
  3. Heiss, F., Using R for Introductory Econometrics, 2016.
  4. Dennis, B., 《R语言初学指南》,译者:高敬雅、刘波,人民邮电出版社,2016.
  5. Kabacoff, R. I., 《R语言实战》第二版,译者:王小宁等,人民邮电出版社,2016.
  6. Quick-R, http://www.statmethods.net/
  7. Econometrics with R, https://www.econometrics-with-r.org/

Further Reading

Introductory level

  1. Gujarati, D. & Porter, D., Basic Econometrics, 5th edition, McGraw-Hill Education, 2008.
  2. Stock, J. & Watson, M., Introduction to Econometrics, 3rd edition, Pearson, 2015.
  3. Wooldridge, J., Introductory Econometrics: A Modern Approach, 6th edition, Cengage Learning, 2015.
  4. Kennedy, P., A Guide to Econometrics, 6th edition, Wiley-Blackwell, 2008.

Intermediary level

  1. Greene, W., Econometric Analysis, 8th edition, Pearson, 2017.
  2. Cameron, A. & Trivedi, P., Microeconometrics: Methods and Applications, Cambridge University Press, 2005.

Advanced level

  1. Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, 2nd edition, MIT Press, 2010.
  2. Hayashi, F., Econometrics, Princeton University Press, 2000.

Modern monographs

  1. Angrist, J. D. and Pischke, J.-S., Mastering ‘Metrics: The Path from Cause to Effect, Princeton University Press, 2015.
  2. Angrist, J. D. and Pischke, J.-S., Mostly Harmless Econometrics: An Empiricist’s Companion, Princeton University Press, 2008.