The course provides an elementary but comprehensive introduction to the practice of econometrics. It deals with applications of statistical methods to the testing and estimation of economic relationships. The main topics covered include the simple linear regression model and ordinary least squares estimation (OLS), extensions of the simple linear regression model, statistical inference, prediction, two variable regression model, multiple regression model, multiple regression model in matrix form, Frisch-Waugh theorem, estimation and inference, specification analysis and model evaluation, non-nested tests and encompassing forecasting, multicollinearity, nature and consequences of multicollinearity, detection of multicollinearity and estimation, dummy independent variables, testing for structural change, recursive least squares and recursive stability tests, seasonality, and general to specific modeling.
Lecturer
Dr. H. Ozan ERUYGUR
Gazi University, FEAS, Department of Economics, Room: 112.
E-mail: oeruygur@gmail.com, Phone: 216 1112
Research Assistant
Mert AŞÇIOĞLU
METU, FEAS, Department of Economics, Room: AZ01
E-mail: ascioglu@metu.edu.tr Phone: 210 7023 and 210 3007
Course Schedule
Wednesday 12:40-15:30 FZ16
Thursday 09:40-10:30 FZ09
Rec. and Lab. Hours
To be announced
Office Hours
To be announced
Textbook
Gujarati, D., and
Porter, D. (2009) Basic Econometrics, Fifth
Edition, McGraw-Hill.
Recommended Books
Hill,
C., Griffiths, W. E., and Lim, G., (2011) Principles
of Econometrics, Fourth Edition, Wiley.
Thomas, R. L. (1996) Modern Econometrics, Prentice Hall, New York.
Assessment
The course will be assessed as follows:
Lab Exam %
3
Assignments % 2
First Midterm (April 2, 2014) % 25 [Exam date will not be changed]
Second Midterm (April 30, 2014) % 30 [Exam date will not be changed]
Final Exam % 40 [Exam date will not be changed]
Course Home Page
The class web
site can be accessed through online.metu.edu.tr.
The home page will be used primarily to post lecture notes,
data sets, assignments, and announcements. We will
also use the e-mail feature of online.metu.edu.tr.
Softwares
Gretl and Excel.
Further Requirements
You are expected to attend classes
regularly.
Course Outline
Week |
Subjects |
1 |
§ Refreshment:
Central Limit Theorem § Linear
Regression Model and Assumptions of Classical Linear Regression Model (CLRM) |
2 |
§ OLS
Estimation - Mean and Variance of OLS Estimators § Variance of
the random variable u – Covariance of OLS Estimators |
3 |
§ Gauss Markov
Theorem and Efficiency of OLS estimators - Coefficient of Determination § Functional
Forms of Regression Models - Scaling and Units of Measurement - Large Sample
Properties |
4 |
§ Prediction § Multiple
Regression - Meaning of Coefficients - General Linear Model – OLS Estimation |
5 |
§ Assumptions
of the CLRM in Matrix Notation – Mean and Variance of OLS Estimators –
Minimum Variance § Estimation of
Disturbance Variance - The Residual Maker and the Hat Matrix - Partitioned
Regression |
6 |
§ Ballatine
Diagram and The Frisch-Waugh Theorem § Coefficient
of Determination - Omitted Variable
Bias - Irrelevant Variable Case |
7 |
§ Testing
Hypotheses and Confidence Intervals I § Testing
Hypotheses and Confidence Intervals II |
8 |
§ Prediction in
Multiple Regression Model - Partial Correlation § Multicollinearity |
9 |
§ Dummy Variables
I § Dummy
Variables II |
10 |
§ Dummy
Variables III § Heteroscedasticity
I |
11 |
§
Heteroscedasticity II §
Heteroscedasticity III |
12 |
§ Model
Specification and Diagnostic Testing I § Model
Specification and Diagnostic Testing II |
13 |
§ General to
Specific Modeling I § General to
Specific Modeling II |
Make-up Exam Policy Students must provide an official
medical report taken from (or approved by) the Medical Center of METU. The make-up exam will not be given for any
exam conflicts, so please be careful for the exam dates of your other courses (ECON301 exam dates announced in this syllabus will not be
changed!).
Attention: The
make-up exams can be carried out as oral exams!