ECON 7204 - Econometrics IV

North Terrace Campus - Semester 1 - 2015

The objective of this course is to study more advanced topics on micro-econometrics. Students are expected to have knowledge in calculus, statistics and multiple regression models at the level of Econometrics III/IIID or equivalent. Topics include linear regression model, some topics on regression, bootstrap, generalized method of moment (GMM), empirical likelihood (EL), instrument variables (IV) estimation, panel data methods, simultaneous equation models, limited dependent variable models, and sample selection corrections. The emphasis is on understanding the models and theories. Through the course, we will also apply econometric estimation methods to real-world data and interpret the estimation results in many different respects.

  • General Course Information
    Course Details
    Course Code ECON 7204
    Course Econometrics IV
    Coordinating Unit School of Economics
    Term Semester 1
    Level Postgraduate Coursework
    Location/s North Terrace Campus
    Units 3
    Contact Up to 4 hours per week
    Available for Study Abroad and Exchange Y
    Prerequisites A minimum of a Credit in ECON 3023 or ECON 3507 or ECON 7022 or equivalent
    Course Description The objective of this course is to study more advanced topics on micro-econometrics. Students are expected to have knowledge in calculus, statistics and multiple regression models at the level of Econometrics III/IIID or equivalent. Topics include linear regression model, some topics on regression, bootstrap, generalized method of moment (GMM), empirical likelihood (EL), instrument variables (IV) estimation, panel data methods, simultaneous equation models, limited dependent variable models, and sample selection corrections. The emphasis is on understanding the models and theories. Through the course, we will also apply econometric estimation methods to real-world data and interpret the estimation results in many different respects.
    Course Staff

    Course Coordinator: Dr Firmin Doko Tchatoka

    Office location: Nexus 10, Level 4, Room 4.47
    Telephone: 8313 1174
    Course Timetable

    The full timetable of all activities for this course can be accessed from Course Planner.

    The detailed list of topics will be given in the first class and posted on MyUni.



  • Learning Outcomes
    Course Learning Outcomes
    On successful completion of this course students will be able to:

    1 To acquire knowledge of various advanced econometric models, estimation methods and related econometric theories
    2 To learn how to apply the above theories to empirical data or be able to develop new econometric theory
    3 To learn how to write Matlab code and how to use statistical packages like STATA to estimate econometric models usng real world data
    4 To be able to work in groups when doing problem solving and computer exercises, and present relevant research papers in the field of applied or theoretical econometrics
    5 To be able to conduct econometric analysis of data properly and understand the results
    University Graduate Attributes

    This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:

    University Graduate Attribute Course Learning Outcome(s)
    Knowledge and understanding of the content and techniques of a chosen discipline at advanced levels that are internationally recognised. 1, 2
    The ability to locate, analyse, evaluate and synthesise information from a wide variety of sources in a planned and timely manner. 4
    An ability to apply effective, creative and innovative solutions, both independently and cooperatively, to current and future problems. 2, 3
    Skills of a high order in interpersonal understanding, teamwork and communication. 4
    A proficiency in the appropriate use of contemporary technologies. 2
    A commitment to continuous learning and the capacity to maintain intellectual curiosity throughout life. 5
  • Learning Resources
    Required Resources
    Lecture notes will be posted on MyUni before each lecture.

    Required Textbook

    Marno Verbeeck            A Guide to Modern Econometrics           4th Edition, A John Willey & Sons, Ltd, 2012
    
    Computer Software

    1
             Matlab            Available on the computers in Honours student room, PhD student room,
    and the computer lab (10 Pulteney St. 2.20 Computer Suite 1 and Computer
    Suite 3) 

      
    2 Stata Available on the computers in Honours student room, PhD student room,
    and the computer lab (10 Pulteney St. 2.20 Computer Suite 3 only)


    NB: Students are encouraged to use software other than the ones listed here. However, they must ensure that the software is appropriate for their project. Students who use computers connected to the University network can make a request to the ITS to install Matlab in their machines.
    Recommended Resources
     A.C. Cameron and P.K. Travedi

               Microeconometrics: Methods and Applications               Cambridge University Press, 2005
     


    J.M. Wooldridge

    Econometric Analysis of Cross Section and Panel Data

    MIT Press, 2002



     F. Hayashi

    Econometrics

    Princeton University Press, 2000



    P. A. Ruud

    An Introduction to Classical Econometric Theory

    Oxford, 2000.



    J. Hamilton

    Time Series Analysis

    Princeton University Press, 1994



    Online Learning

    1     
       
              
       

    E-mail   
      
                    Check your student email often as course-related announcements are communicated via email 
     


    2


    MyUni 


    All the materials such as lecture notes, problem sets and their answer keys, Matlab manual, etc. will be posted on the MyUni course webpage, www.myuni.adelaide.edu.au


    NB
    : Lecture notes will be put on the course webpage before each lecture. Students need to print out lecture notes and bring
    them to the class.
  • Learning & Teaching Activities
    Learning & Teaching Modes
      1  
           
                      Lecture notes
        
    2

    Reading textbooks

    3

    Just in time teaching (JiTT) assessment

    4

    Problem solving and computer exercises

    5

    Empirical Project


    NB
    : It is important for students to be able to apply what they learn in class to real world data by using computer programs
    such as Matlab, Gauss, C++, R and Stata.
    Workload

    The information below is provided as a guide to assist students in engaging appropriately with the course requirements.

    Any student  in this course is expected to attend all lectures, workshops and labs throughout the semester.

    Lecture notes
          
                                               2 hours/week  
                      
    JiTT

    3 hours/week

    Additional readings and empirical project

    2 hours/week

    Problem solving and computer exercises

    2 hours/week


    NB: The above guide is for private study, that is, study outside of your regular classes.
    Learning Activities Summary
    Tentative Course Schedule (subject to changes)

     1
     
        Review of the classical multivariate linear model: estimation, inference, and violation of basic assumptions  
     
    2

    Instrumental variables methods and GMM

    3

    Nonlinear  least squares (NLS) and Maximum likelihood (ML) estimations

    4

    Models With Limited Dependent Variables

    5

    Models Based on Panel data

    6 Unit Roots, Cointegration and Error Correction



    Specific Course Requirements
    N/A
    Small Group Discovery Experience
    N/A
  • Assessment

    The University's policy on Assessment for Coursework Programs is based on the following four principles:

    1. Assessment must encourage and reinforce learning.
    2. Assessment must enable robust and fair judgements about student performance.
    3. Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
    4. Assessment must maintain academic standards.

    Assessment Summary
    The final mark for this course will be determined by:

     Assessment Task    

                 Task Type  
      
                   Due  
           
        Weighting  
         
              Learning Outcome   
     
    Just in Time Teaching (JiTT): 
    see Assessment Detail

    Readings


    Refer to course website at on MyUni, www.myuni.adelaide.edu.au



    10%


    1-5

    Homework and Computer Exercises:
    see Assessment Detail


    Problem solving and computing



    Refer to course website at on MyUni, www.myuni.adelaide.edu.au




    15%


    1-5

    Midterm Exam:
    see Assessment Detail

    Formative, problem solving and computer exercises


    Refer to course website at on MyUni, www.myuni.adelaide.edu.au



    15%


    1-5


    Empirical project:
    see Assessment Detail

    Formative, reading and  computing


    Refer to course website at on MyUni, www.myuni.adelaide.edu.au


    20%


    1-5


    Final Exam



    Formative, problem solving and computer exercises


    Refer to course website at on MyUni, www.myuni.adelaide.edu.au



    40%


    1-5




    Assessment Related Requirements
    N/A
    Assessment Detail
    1.  Just in Time Teaching (JiTT)

    In the unit I plan to use the Just in Time Teaching (JITT) technique. You will be required to read some material before the relevant workshop and lecture. I will post the questions on MyUni. There will be three questions that will be covered in the following week’s lecture, workshops and labs. You will submit your answers by Saturday 5pm. It is important to bear in mind that while you will not be assessed on the content of your answers I will nevertheless use the JiTT assessments to form a question in the midterm and final exams. I will also form view of the effort you are putting into being prepared for the following week’s class—I read your submissions before the Monday class. The mark here is an incentive to encourage you to participate rather than an assessment of the content.

    2. Homework and Computer Exercises

    Problem sets and computer exercises will be given to you fortnightly. Details (including submission dates) will be provided on MyUni and discussed with students in lectures. Late submission will be accepted only if accompanied by appropriate documentation, for example, a medical certificate. Each student must write and turn in her/his own homework to me right before lecture begins in class on the due date. Students must write their name and student ID number on the cover sheet.

    3. Midterm Exam

    1 h 30 min test containing short answer questions. The date will be posted on MyUni and discussed with students in lectures. There will be no supplementary exam for the midterm exam. If you miss this exam and you provide a medical certificate or compassionate reasons, your final exam will account for 55% (instead of 40%) of your total mark. Please note that, following University policy, dictionaries are not allowed in School of Economics exams. Students may NOT take any type of CALCULATOR to the exam.

    4. Empirical Project

    Students must complete an applied  econometric  study of an economic or financial relationship and answer a research question that they pose. The maximum  length of the final version of the project is 15 pages + references + appendix. Students must replicate one of the following paper:

    1. Fama, E. and French, K., 2004. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, (33) 3-56.

    2. Clarida, R., Gali, J., and Gertler, M., 2000. Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. Quaterly Journal of Economics, Feb, 147-180.

    3.  Hamermesh, D. and Biddle, J., 1994. Beauty and the labour Market. American Economic Review, (84) 1174-1194.

    4. Graddy, K., 1995. Testing for Imperfect Competition at the Fulton Fish Market. The RAND Journal of Economics, (26) 75-92.

    5.  Narayan, P., Narayan, S.,  and Prasard, A., 2008. Understanding the Oil Price-exchange Rate Nexus for the Fiji Islands. Energy Economics (30) 2686-2696.

    6. Fair, R., 1978. A Theory of Extramarital Affairs. Journal of Political Economy (86) 45-61.


    The project is divided in three parts: A, B, and C.

    Project Part A (due date: Monday 23 Mar 2015): Must contain the abstract and data description

    Abstract:

    1. Clearly state the question that you will be investigating. Do not repeat the abstract from the source paper.

    2. Provide the source of the data or the name of the database that you are planning to use.

    3. Speculate what type of results you would expect to get in answer to your stated question.

    Expected length: 1 page

    Data Description:

    4. Type of data (e.g. panel, time series, cross sectional, pooled cross sectional, etc.).

    5. Frequency.

    6. Dimensions of your data.

    7. List variables that you will be using for your project.

    8. Provide 5-point summary for all variables used in your analysis.

    9. Graph your data and interpret the results (stationarity, seasonality, trends, structural breaks…).

    Expected length: 3-4 pages

    Project Part B (due date: Mon 27 Apr 2015): Residual Analysis

    In this part of the assessment you have to specify and test the data selected for your project with your chosen models. Justify the models’ selection through residual analysis and additional tests (you will have to determine which tests will be applicable for your chosen data type and chosen models).

    Expected length: 2-3 pages

    Project Part C (due date: Wed 10 Jun 2015): Final Empirical Project

    The term paper is your opportunity to construct a model and analyze it using econometric methods. A good paper will have the following format structure:

        1. Introduction (modified and improved Project Part A)  

              a. Why do we care?    
     
              b. What else is known about this problem?

              c. What are the limitations of previous studies?

        2. Data

            a. Data collection 

            b. Sources and Descriptive statistics (modified and improved Project Part A)

       3. The model  

            a. Estimation and Testing

            b. Residual analysis (modified and improved Project Part B)

       4. Results

           a. What are the main findings? 

           b. Do you find the empirical results convincing? 

           c. Interpret your findings and stress their significance

       5. Conclusion   

           a. Summary of main contributions 

           b. How do you think the study could be improved?

       6. Reference List

    Each term paper will have an assignment submission cover page. Projects should be up to 15 pages of text (with all references cited in the appropriate text), bibliography, tables and figures, and any appendix material. You must include all relevant computer printouts including one that clearly lists your data in a compact. Your grade will depend on your mastery of the relevant econometric theory and the organization of your paper.


    5. Final Exam

    3 hours multi-part problem solving questions: will cover all the lectures, JiTT, Homework and Computer Exercises, and labs. Written sample answers will not be provided. Help with questions that you have made a genuine attempt to answer may be provided by your lecturer/tutor either  individually  or in  group.
    Submission
    Refer to ASSESSMENT DETAIL. After being marked, generally, the assessment will be returned to students in class about a week after
    submission.
    Course Grading

    Grades for your performance in this course will be awarded in accordance with the following scheme:

    M10 (Coursework Mark Scheme)
    Grade Mark Description
    FNS   Fail No Submission
    F 1-49 Fail
    P 50-64 Pass
    C 65-74 Credit
    D 75-84 Distinction
    HD 85-100 High Distinction
    CN   Continuing
    NFE   No Formal Examination
    RP   Result Pending

    Further details of the grades/results can be obtained from Examinations.

    Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.

    Final results for this course will be made available through Access Adelaide.

    Additional Assessment
    If a student receives 45-49 for their final mark for the course they will automatically be granted an additional assessment. This will most likely be in the form of a new exam (Additional Assessment) and will have the same weight as the original exam unless an alternative requirement (for example a hurdle requirement) is stated in this semester’s Course Outline. If, after replacing the original exam mark with the new exam mark, it is calculated that the student has passed the course, they will receive 50 Pass as their final result for the course (no higher) but if the calculation totals less than 50, their grade will be Fail and the higher of the original mark or the mark following the Additional Assessment will be recorded as the final result.

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    SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.

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