Syllabus

BUAN/MECO 6312.502: Applied Econometrics and Time Series Analysis

Fall 2023
Jindal School of Management
The University of Texas at Dallas

Course Meeting Time

Mondays 7:00pm - 9:45pm, JSOM 1.107

Contact Information
Instructor: Alexander Chudik
Email: [email protected]
Office Hours: by appointment

Teaching Assistant: Parth Hitesh Shah

Email: [email protected]
Office Hours: by appointment

Course Description
This course teaches students commonly used econometric techniques to analyze cross-sectional, time series and
panel data sets. Emphasis is on the application and basic understanding of econometric techniques.

Prerequisites

Basic knowledge of probability and statistics and some familiarity with computer-based data analysis: OPRE
6301 or SYSM 6303 or FIN 6306.

Textbook and Software

Required textbook: Hill, Griffiths and Lim., Principles of Econometrics, 5th edition, Wiley, 2018.

The course requires the use of a software package. I will use STATA and will post examples in STATA. However,
if you prefer to use other software (for example Matlab, R, Python, E-views, etc.), I am fine with this too.

STATA is not available at the computer lab, but it is available on the server. I will arrange remote access to the
server to all of you at the beginning of the semester, so that you will not have to purchase a license.

Lecture notes, assignment solutions, codes and any additional material will be posted on the eLearning website of
this course.

Textbooks can be ordered online through the UT Dallas Bookstore http://www.bkstr.com/texasatdallasstore/home

or other online vendors (e.g. amazon).

1
Class Materials

The instructor may provide class materials that will be made available to all students registered for this class.
These materials may be downloaded during the course; however, these materials are for registered students' use
only. Classroom materials may not be reproduced or shared with those not in class, or uploaded to other online
environments except to implement an approved Office of Student Access Ability accommodation. Failure to
comply with these University requirements is a violation of the Student Code of Conduct.

Course Schedule

WEEK HOMEWORK DUE DATE

TOPIC/LECTURE READING
(Dates) ASSIGNMENT

Week 1 Lecture 1: Chapter 1 Assignment 1 Sept 3

(Aug 21) Introduction and Probability Primer Probability Primer

Week 2 Lecture 2: Chapter 2 Assignment 2 Sept 10

(Aug 28) Simple Linear Regression Model

Week 3 No class (Labor Day holiday)

(Sep 4)

Week 4 Lecture 3: Chapter 3 Assignment 3 Sept 17

(Sep 11) Confidence Intervals and Hypothesis
Testing

Week 5 Lecture 4: Chapter 4 Assignment 4 Sept 24

(Sep 18) Prediction, Goodness-of-Fit and
Modelling Issues

Week 6 Lecture 5: Chapter 5 Assignment 5 Oct 1

(Sep 25) Multiple Linear Regression Model

Week 7 Lecture 6 Chapter 6 Assignment 6 Oct 8

(Oct 2) F tests, Omitted and Redundant
Variables, Selection Criteria and
Collinearity

Week 8 Lecture 7 Chapter 7 No assignment

(Oct 9) Indicator Variables
REMAINDER: REGISTER FOR EXAM!

2
 WEEK HOMEWORK DUE DATE
TOPIC/LECTURE READING
(Dates) ASSIGNMENT

Week 9 Midterm Exam in the UTD Testing

Center
(Oct 16)
(No class)

Week 10 Lecture 8 Chapter 8 Assignment 7 Oct 29

(Oct 23) Heteroskedasticity

Week 11 Lecture 9 Chapter 10 Assignment 8 Nov 5

(Oct 30) Instrumental Variables

Week 12 Lecture 10 Chapter 9 Assignment 9 Nov 12

(Nov 6) Time Series – part 1

Week 13 Lecture 11 Chapter 12 Assignment 10 Nov 26

(Nov 13) Time Series – part 2, VAR models Chapter 13

Week 14 No class (Fall break)

(Nov 20)

Week 15 Lecture 12 Chapter 15 No assignment

(Nov 27) Panel Data
REMAINDER: REGISTER FOR EXAM!

Week 16 Final Exam in the UTD Testing Center

(Dec 4) (No class)

The course schedule is subject to change at the discretion of the Professor.

Grading
The final grade is computed based on two (cumulative) exams and 10 homework assignments. Both exams are
taken at the UTD Testing Center:

Exam 1 (120 minutes, 30 points) will take place on October 16 (can be taken from 8:00am through 9:00pm).

Exam 2 (120 minutes, 30 points) will take place on December 4 (can be taken from 8:00am through 9:00pm).

Exams are closed book. However, you are allowed to bring with you one sheet (8.5 x 11) of hand-written notes,
double-sided (front and back). The notes will not be returned to you upon the completion of the exam. You can
bring with you a testing-center approved scientific calculator, or you can request a TI-30XIIS calculator from the

3
testing center. See https://ets.utdallas.edu/testing-center/students/ for the testing center student guidelines. Please
note the testing center registration deadlines: All students must reserve a time slot no later than 48 hours prior
to exam appointment time at https://ets.utdallas.edu/testing-center/students/ . Walk-in appointments are not
allowed. The exam dates are fixed. Please plan ahead to make sure you can attend.

Exams are mandatory. If you cannot take the exam on the scheduled dates, you must contact me as soon as
possible and provide documentation of exigency. I reserve the right to assign a grade of zero for the reasons I deem
less than exigent. Student who misses the midterm could, at the instructor’s discretion, be permitted to be
exempted from the midterm and have the final count as an additional 30% of the grade. Student who misses the
final must take the make-up exam at the time of instructor’s choosing. If the student cannot make that time, he/she
will receive a zero for the exam.

Homework assignments: You will have 10 homework assignments (4 points each). All empirical questions must be
submitted together with their respective codes. You are encouraged to discuss your work with classmates. However,
each one of you must finally write his/her own homework, including his/her own code. DO NOT use past,
online or AI solutions (not even to “verify” your answers). A student who is caught cheating (including “verifying”
answers with past solutions or using AI like ChatGPT) will not only receive 0 credit for the assignment, but in
addition – will lose 2 points off his/her final grade for each such violation!

Homework assignments that are submitted late will receive at most 50% of the original points. If you have an
emergency, contact me immediately and before the due date.

Final Grade Calculation: Exam 1: 30%, Exam 2: 30%, Homework: 40%.

Letter Grade Scale:

Score Letter Grade
92 - 100 A
88 - 91.99 A-
84 - 87.99 B+
80 - 83.99 B
76 - 79.99 B-
72 - 75.99 C+
60 - 71.99 C
0 - 59.99 F

Extra Credit: I have a strict no extra credit policy. No additional work for extra credit is possible in this class.

Policies

Communication: E-mail is the best way to reach Prof. Chudik. Email is also recognized as an official mode of
university correspondence. You are responsible for checking your email frequently to stay current with university-
related communications, some of which may be time-critical.

Class participation is not graded, but regular class participation is expected. Please turn off your mobile phones and
other electronic devices to avoid disturbing. Please arrive on time and leave after class ends.

UT Dallas Syllabus Policies and Procedures: The information contained in the following link constitutes the
University’s policies and procedures segment of the course syllabus. Please go to http://go.utdallas.edu/syllabus-

4
policies for these policies.

Comet Creed

“As a Comet, I pledge honesty, integrity, and service in all that I do.”

The descriptions and timelines contained in this syllabus are subject to change at the discretion of the professor.