Page 1Page 2Page 3© Eli Berman, UCSD 1UC San Diego Professor Eli BermanWinter 2008 [email protected] Class: T-Th 11-12:20 (Center 115) OH: T 9:30-10:30 EC 218Economics 120BEconometricsThis course prepares students for practical empirical research in an academic or businesssetting. It introduces three major ideas in econometrics: quantifying uncertainty using confidenceintervals, using regression to infer causal relationships, and using regression for prediction. Wealso cover exotic concepts such as heteroskedasticity and instrumental variables. Graduates willbe able to conduct and read simple empirical research.The prerequisite is one of EC 120A, Math 183, or ECE109. Students without aprerequisite are welcome to attend the first few classes but must get permission to register.The material is fairly well covered in Introduction to Econometrics (first or secondedition), by Jim Stock and Mark Watson, which is required reading and is available at thebookstore. Another helpful text is Introductory Econometrics, by Arthur Goldberger.We will learn to use an econometrics program called Stata. Students have access to Statain the computer lab. Individual copies of Small Stata can be leased for about $48 athttp://www.stata.com/order/new/edu/gradplans/gp-direct.html . Stata is essential for problemsets.Evaluation: There will be a midterm exam (worth about 35% of the grade) on ThursdayFebruary 7, a final (about 45%) on Thursday, March 20 at 11:30 AM, and three or four problemsets (worth about 20% together). No other exams are planned. Exams may be proctored usingvideo. Reviewing class notes with knowledgeable friends, solving problem sets, reviewing oldexams, and reading the text are good ways to prepare for exams.Written work: The “Buckley” waiver makes it much easier to return your written work,by allowing us to put it in a public place rather than having you meet with the TA. Please readthe attached waiver, sign it, and return it to a TA if you’re comfortable with it.Disabilities will be accommodated. Please refer to OSD policy on what we do to help.http://www-senate.ucsd.edu/manual/appendices/app3.htm . If you have any questions please feel welcome to come chat in office hours. Office hourstend to get congested the week before exams.In order to compensate for lost classes in 120A during the week of wildfires we may shiftreview classes in preparation for the midterm and final exam to the evening.© Eli Berman, UCSD 2COURSE OUTLINE:1. Introduction: Why Study Econometrics?Who needs data anyway? If you had some, what would you do with it? Econometric models,parameter estimates, prediction and the testing of economic theories. Getting good data:Experimental vs. nonexperimental data. Cross-sections, Time-Series, Panels.Reading: Stock & Watson - Chapter #1.2. Probability and Statistics: A quick reviewProbability, random variables, the normal distribution and the central limit theorem, inference,confidence intervals and hypothesis testing. Asymptotics of the sample mean. Using Stata.Reading: Chapters #2 and #3.3. Simple Regression (one regressor)Fitting a line through a cloud of points. Least squares, unbiased estimates, consistent estimates,confidence intervals, hypothesis testing, omitted variable bias, R .2Reading: Chapters #4 and #5.{Review and midterm about here}4. Multiple Regression: EstimationThe second explanatory variable, interpreting coefficients, efficiency & heteroskedasticity,omitted variable bias. Reading: Chapter #6.5. Causal Inference and Random AssignmentRandom assignment vs. omitted variable bias. Reading: Ch #13. 6. Multiple Regression: InferenceConfidence intervals (CI) for parameters, CI for predictions, hypothesis testing, single (t) vs.multiple (F) tests. Etiquette for reporting results.Reading: Chapter #7.7. Sources of Bias: measurement error, sample selection, simultaneity and omitted variablesOmitted Variable Bias again, Measurement Error, Fixed Effects, Sample Selection, Simultaneity.Reading: Chapters #9 and #10. 8. Identification and Instrumental VariablesCausal inference again, instrumental variables vs. omitted variable bias, two-stage least squares,natural experiments.Readings: Chapter #12; Angrist, Joshua D. (1990) “Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence fromSocial Security Administrative Records,” American Economic Review 80(3) (June).3STUDENT CONSENT FOR RELEASE OF STUDENT INFORMATION(Buckley Waiver)I hereby authorize the UCSD Economics Department to return my graded examinations andproblem sets by placing them in a location accessible to all students in the course. I understandthat the return of my examinations and problem sets as described above may result in disclosureof personally identifiable information, that is not public information as defined in UCSD PPM160-2, and I hereby consent to the disclosure of such information.Quarter W08 Course: Econometrics 120B Date: Instructor: Eli Berman Student ID# Print Name