University of Illinois at Urbana-Champaign. Spring 2014 Econ 471: Introduction to Applied Econometrics Prof. Walter Sosa-Escudero ([email protected]) Goals: this is a course in applied econometrics, emphasizing the implementation of modern econometric techniques to analyze concrete economic problems, using real data and recent econometric software. Though not a theoretical course, we will introduce some basic theory and concepts to motivate an appropriate use of the methods. After passing this class students should have learned to to: • Build, estimate and interpret their own econometric models for concrete economic problems. • Write professional reports/papers using econometric methods. • Use recent professional software for econometric and statistical analysis. • Collect, use and analyze real data sets. Mechanics: grading is based on two midterms (35% of the final grade each), homework assignments (20%), and an empirical project (10%). The homework and the empirical project should be worked in groups of no more than 3 (three) students. A major element is the analisis of real data sets using econometric software. Even though the class is not software specific, we will encourage the use of Stata, a professional statistical tool. The first midterm exam will be on March 18th (Tuesday), in class. Topics: This list is tentative and we will not be able to cover all topics, but, if time permits this is the order we will follow. 1. The two-variable linear regression model and least squares estimation. 2. The K-variable linear model. 3. Uses of the linear model: functional forms, multicollinearity, dummy variables. 4. Specification errors. The model with stochastic regressors. 5. The generalized linear model and the generalized least squares estimator. 6. Heteroscedasticity and autocorrelation. 7. Introduction to time series analysis 8. Dynamic models 9. Instrumental variables 10. Models for simultaneous equations 11. Limited dependent variable models: probits, logits, tobits Bibliography: though I will not follow any specific textbook, I recommend Wooldridge, J., 2012, Introductory Econometrics: A Modern Approach, 5th ed.. Additional material (empirical papers, class notes, handouts, etc.) will be provided. A recommended source for Stata is Baum, C., 2006, An Introduction to Modern Econometrics Using Stata, Stata Press. Class material: the web-site for the class is temporarily located at http://www.econ.uiuc.edu/~wsosa/econ471/index.htm All homework, data, and most of the material for this class will be handled through this means. I teach using slides, mostly, which also serve the purpose of lecture-notes. You are strongly advisedto bring a print-out of the slides to class so we can focus on discussion. You should become familiar with this pages, and check them