Econ 21020 –Econometrics Roark-Fall 2018

Econ 21020/1: Econometrics

University of Chicago, Fall 2018

Class: M-W 9:30-10:50 AM Saieh Hall 203

Discussion: Thu 4:30-5:20 PM Harper Mem Library 130

Final Exam: TBD

Instructor: Christopher Roark

Email: [email protected]
Office: Saieh Hall 427
Office Hours: Wednesday 2-4 pm, Friday 10-11 am

TA: Younghun Shim

Email: [email protected]
Office Hours: Friday 1:30-3:30 pm Saieh Hall 201 (Grad student lounge)

Course Site: Can be found at https://canvas.uchicago.edu

Primary Text: Gujarati, Damodar N. and Porter, Dawn C. Basic Econometrics,

Fifth edition, McGraw-Hill Irwin (2009).

Prerequisites: 1.) Econ 20100

2.) Econ 21010 OR Stat 23400 and Math 19620 (or equivalent)

Course Description: This course covers the single and multiple linear regression model,
the associated distribution theory, and testing procedures;
corrections for heteroscedasticity, autocorrelation, and
simultaneous equations; and other extensions as time permits.
Students also apply the techniques to a variety of data sets using
PCs

Course Objectives: The purpose of this course is to give you a fundamental

understanding of the liner regression model used on a variety of economic analysis. It
also stresses the many issues that students may encounter when doing their own empirical
analysis using the linear regression model as a tool. By the end of this course the student
should be able to:

1.) Formulate a regression to test economic models

2.) Apply basic distribution theory of regression analysis to test hypotheses and
analyze data
3.) Evaluate econometric methodology and assess the validity of assumptions in
the student’s own and other individual’s analysis

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4.) Conduct their own regression analysis using a statistical software package

Grading Scheme: Problem Sets (≈6): 20%

Midterm: 35% (25% if better on Final)
Final: 45% (55% if better on Final)

Academic Integrity:

All students are expected to abide in a manner consistent with the University of Chicago
student manual. The manual can be found at http://studentmanual.uchicago.edu/. In
particular all students are expected to follow the policies for Academic Honesty and
Plagiarism. I will not hesitate to report any instances of Academic Dishonesty that I
suspect to the college.

Disability Statement

Students with disabilities who believe that they may need accommodations in the class
are encouraged to contact Student Disabilities Services (773-702-6000) or
[email protected] as soon as possible to better ensure that such accommodations
are implemented in a timely fashion.

Medical and Counseling Services

If you are having any mental, physical, or other personal problems that are interfering
with your ability to focus on your coursework, please contact Student Health and
Counseling Services (773-702-4156) right away.

Preferred Contact

Please contact me via email ([email protected]) with any questions or comments. I

should respond within 24 hours of receiving your email. Do not hesitate to contact me if
you are having any issues regarding the class.

Computers and Cell Phones

In order to facilitate active engagement students are expected to ask questions and discuss
topics in class. Laptops are allowed in class to facilitate note taking however I reserve the
right to reevaluate this policy in the event that they are interfering with class
participation. Relevant research shows that the act of physically writing down
information is far better for comprehension and retention of material. Given that I highly
encourage you to take handwritten notes.

In addition, all cell phones should remain silenced or off during class.

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Problem Set Policies:

You are encouraged to work in groups of up to 4 students. Each student must turn in a
separate completed problem set however group work has been shown to help aid in
retention and comprehension so I strongly encourage you to work in groups on your
problem sets.

Assignments will be due at the beginning of the specified class typically on Monday.
Each problem set will be posted on Canvas about a week prior to its due date. If you have
trouble accessing the course Canvas page, please do not hesitate to contact me.

Late work will generally not be accepted, and unless notified of a disability by the
Student Disabilities Access Office that requires a different exam time, both the midterm
and final will be taken the day and time scheduled. If you are unable to take the midterm
for a University excused absence, then your final will count as both the midterm and the
final in the calculation of your final grade.

Problem sets will be graded by the TA or graders. If you feel there is consistency issues
about grading between yourself and other group members do not hesitate to bring this to
my attention.

In calculating your final grade, I will only use the grades from your 5 best problem sets.
Your lowest problem set grade will be dropped. Despite this I highly encourage you to
attempt every problem set as this will almost certainly lead to better success for you in
the final grade of the course.

Empirical Work:

Most problem sets will have a section devoted to an application of the theory in
class. This will require you to have access to and use of a statistical software package to
solve. In general, I will provide support and instructions on the use of STATA for this
course. However, you are free to use whatever software package you feel most
comfortable with. Keep in mind that I and the TA will not be able to in general answer
questions concerning any software package that is not STATA. Therefore you use
something else at your own risk.

When submitting applied work, I will only be interested in your stata log file or your
results print out. In general there will be questions that you will use the results to answer.
I do not want your raw code nor will I ask the graders to debug your raw code. If your
results are wrong then they’re wrong. However, partial credit will be available if you
perform the analysis correctly conditional on the incorrect results.

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Classroom Policies

Lecture notes will not be made available after the lecture date nor will they be posted
electronically. The exception being supplemental course notes on topics the book does
not cover. Therefore, attendance is highly encouraged

If you do better on the Final Exam than the Midterm, the Final will count for 55% of your
grade and the Midterm will count for 25% of your grade. I will always use your best
score to determine the class distribution and the course grade.

Regrade requests must be typed and returned within two days of receiving the
midterm exam back. You need to type up why you think the question is incorrectly
graded and justify why your response is correct. If you do ask for a regrade I will regrade
the entire exam and your grade can go up or down accordingly.

I will post all grades on Canvas. If your grades on Canvas do not match up with the
returned assignment come talk to me and we will get it sorted out.

Finally, I’m always open to conversations about grading clarifications. However, I am

less inclined to argue with you about your grades. Asking me why something is incorrect
is fine, whereas, asking me whether I think your answer should be worth more points is
not.

Tips for Success:

1.) Complete the Problem Sets – Success in the class is highly dependent on
practice. Some concepts are not immediately intuitive and so require time and
application to understand. I make the problem sets as a teaching tool to help you
better grasp and apply the concepts covered in class
2.) Attend Lecture – For the early part of the class I follow the book relatively
closely however I diverge from the book in significant ways. In addition, I tend to
stress in class then concepts I think will be most useful for you going forward in
econometrics and certainly for the exams. Not coming to class puts you at a
disadvantage to see the direction the course is going.
3.) Come to Office Hours – Not everything will be clear the first time. That is OK.
It’s why I have office hours. I don’t anticipate that my lectures will be completely
clear for everyone all the time. Everyone learns concepts differently and
unfortunately in lecture I can really only explain some concepts one way as there
is a strict time constraint. If something is not clear, come see me or one of the
TAs. We will do our best to try and explain it.
4.) Do the readings – I will cover most everything you need to know in class
however, nothing can substitute for time spent with the material. Doing the

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readings, though may be repetitive it will help reinforce or at least have you spend
more time grappling with the material.
5.) Work in Groups – Group work facilitates learning. Working together allows you
to either gain a deeper understanding of the material as you explain it to your
fellow students, or allows you to potentially make use of the fact that not
everyone has the answer to every question all the time. Use your fellow students
as a resource in working through the problem sets. I have no problems with group
work on problem sets and in fact am strongly encouraging it. Obviously exams
will be individual work only, so do not get caught in a free-rider situation make
sure you understand the answers you’re coming to on the problem sets.

Course Outline:

Week 1: Probability and Statistics Review – Appendix A

Weeks 2-3: Single Linear Regression – Chapters 1-6

Weeks 4-5: Multiple Linear Regression – Chapters 7-9

Week 6: Midterm Exam plus Multicollinearity - Chapter 10

Week 7-8 Heteroskedasticity and Specification Errors- Chapters 11,13

Week 9-10 Nonlinear Regressions and Simultaneous Equations - Chapters 15, 18-
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