Econometrics I(Zhiyong Tu)
Peking University HSBC Business School
Spring 2011-Module 1
Econometrics I
Professor: Zhiyong Tu, Ph.D.
Office: C-410
Email: zytu@phbs.pku.edu.cn
Office Hours: By appointment
TA: TBD
Text:
Jefferey M. Wooldridge (2009), Introductory Econometrics: A Modern Approach, 4th Edition, 清华大学出版社(English Version)
Other Course Materials:
Lecture notes, extra readings and exercises are to be posted on the website of “China Finance Practitioner” (中国金融人网站)
Students should check this site on a regular basis for updates.
Course Objective:
The purpose of the course is to help students develop a theoretical framework for analyzing cross sectional data by means of regression models. The applications will also be covered to some extent.
The main topics covered in this course include the basic linear regression model and extensions of it.
Grading Policy:
In-class Exercise | 20% |
Homework | 10% |
Midterm | 30% |
Final Exam | 40% |
100% |
Academic Honesty:
Academic dishonesty discourages learning. Therefore all students are expected to abide by the code of academic honesty of PHBS, and to interact with one another respectfully, fairly, and honestly. Known instances of academic dishonesty will be prosecuted through the University’s judiciary system.
Main Topics:
? | Nature of Econometrics and Economic Data (Ch.1) - What is Econometrics? - Economic Data |
? | The Two-Variable Linear Regression Model (Ch.2) - The Simple Regression Model - Ordinary Least Squares (OLS) Estimation - Inference |
? | Multiple Linear Regression (Ch.3-4) - Specification of the Model - OLS Estimation - Inference |
? | Further Issues in Multiple Regression (Ch. 6-8) - Functional Forms and Other Specification Issues - Qualitative Information and Dummy Variables - Dummy Independent Variables - A Binary Dummy Dependent Variable: The Linear Probability Model - Heteroskedasticity - Nature and Consequences of Heteroskedasticity - Testing for Heteroskedasticity - Weighted Least Squares (WLS)/ Generalized Least Squares (GLS) Estimation |
? | Other Topics in Regression (Ch.15 & Ch.17) - Binary Dummy Dependent Variable: Logit and Probit Models - Instrumental Variables (IV) Estimation and Two Stage Least Squares (2SLS) - Others: Generalized Method of Moments (GMM) Estimation, etc. |