Department of Economics
Statistics and Econometrics: Theory and Application
Professor Shamila A. Jayasuriya
Office: Bentley Annex 325
Teaching Schedule Days Times Room MWF 9:40 – 10:35am BNTL 129
Office Hours Monday and Wednesday 2 - 4 pm. If the above times don’t work, please email to set an appointment. Additional office hours will be scheduled before exams.
This course has the objective of teaching students the basic concepts and abilities in econometrics. The first day of the lecture will provide a brief statistical foundation for econometrics with a focus on hypothesis testing and p-values. The rest of the course will develop methods of estimation and inference for the simple and multiple linear regression models. We will also discuss the error assumptions underlying the classical linear regression model and determine violations of these assumptions with an emphasis on serial correlation. Later on in the course, we will discuss the specification of time-series models and estimating/forecasting using time-series models. At the end of the course, students should obtain a good understanding of the statistical properties of models and estimation techniques that are commonly used in time series empirical economic research.
The required textbook for the class is “Econometric Models and Economic Forecasts” (4th edition) by Robert S. Pindyck and Daniel L. Rubinfeld (P&R) published by McGraw-Hill Companies. Your purchase of the text includes a data diskette that contains data for the examples included in the text and chapter-end exercises. For additional reference, two good recommended textbooks are “Applied Econometric Time Series” (3rd edition) by Walter Enders, and “Basic Econometrics” (4th edition) by Damodar N. Gujarati.
Course Materials (continued)
The software that we will use in class is SAS. Check the following website for detailed information on SAS: http://www.sas.com.
SAS 9.3 version of the software is currently installed in the economics department computer lab and in the main library computers.
It is a requirement that each student brings a laptop to class with SAS 9.3 installed on it. Remember to install the software on your laptop within the first two weeks of class in time to follow the SAS instructions in class and to work on in-class quizzes that may require SAS.
In addition, we may use the Bentley 012 computer lab for some of the lectures. I will make an announcement in class in advance to the days we plan to meet in this lab for the class lectures.
Evaluation Evaluation of this course will be based on several in-class quizzes, one in-class SAS exam, and a final term paper. The weights are as follows:
In-Class Quizzes (6 – 10) 50% In-Class SAS Exam 20% Final Term Paper 30%
Exam Schedule In-Class Quizzes Roughly speaking, there will be an in-class quiz every other week on Fridays. For example, the first in-class quiz will be on Friday,
September 5th and the second in-class quiz will be on Friday, September 19th, etc. SAS Exam Wednesday, October 22nd Regular time as place as lecture Final Exam Friday, December 12th 8:00 – 10:00am in BNTL