SYLLABUS

Syllabus
20846: Econometrics II
Kirill Evdokimov and Geert Mesters
Fall 2021
Objectives
This course builds on the methods and techniques employed in Econometrics I to allow for causal
inference and prediction in a larger variety of data sets. In particular, the course covers:
1. Data subject to endogeneity bias (instrumental variable and basic panel data methods).
2. Data collected in experiments and quasi-experiments.

3. “Big data” methods (prediction with many regressors)
4. Time series data (modeling and forecasting).
5. Time series data (estimation of causal effects).
6. Time series data (cointegration and volatility clustering).

The overall objective is for the student to learn how to critically examine and analyze economic and
financial data as well as empirical studies.
Prerequisites
Econometrics I or the following:
1. Solid knowledge of the concepts of statistical inference, hypothesis testing, and confidence inter-
vals.
2. Solid knowledge of OLS as well as the causes and consequences of problems of internal and
external validity of the models.
3. Solid knowledge of STATA.
4. Knowledge of some basic concepts of microeconomics and macroeconomics.
1
Organization
The organization of the course this year is affected by the COVID-19 pandemic.
The teaching consists of 20 lectures and 6 seminars of 1.5 hours each. Lectures will develop the
concepts and methodologies of the subject. Seminars will cover solutions to the homework problems
and any other material not covered in lectures. For the homeworks, students are encouraged to work
in “homework” groups of 3–4 students (possibly meeting online) in order to learn from each other and
share different ways of tackling the problems. Members of each homework group must belong to the
same seminar group. Each homework group submits a single solution set for each problem set.
Homework will be due on the dates and times indicated on the problem sets. The details on how
the homework will be collected, graded, and returned to the students will be provided after the term
begins.
Office Hours:
TBD
Seminars:
TBD
Evaluation
The total grade is the sum of:
Homework: 20 points
December/January Exam: 80 points
To pass the course the student should satisfy two conditions:

A Obtain at least 50 points in total.
B Obtain at least 40 points on the December exam (i.e., 40 out of 80 points)
To be eligible to take the re-take exam in January the student must satisfy the following three condi-
tions:
1 Not have the subject already passed, i.e., not satisfy conditions A or B above.
2 Obtain at least 5 out of 20 points in the continuous assessment (homework).
3 Obtain at least 32 out of 80 points on the December exam.
To pass the retake exam in January the student should satisfy two conditions:
A’ Obtain at least 50 points in total (including homework).
B’ Obtain at least 40 points on the January exam (i.e., 40 out of 80 points).
2
Book
There is no required textbook for this course, but the lectures will follow Introduction to Econometrics
(4th Edition) by Stock and Watson closely.1 We have requested the 4th edition of the textbook be
available for reference in the university library, but it is the student’s responsibility to ensure they
have access to a copy throughout the term (if they would like to).
The outline of the course (with the corresponding chapters in SW textbook):
Review of OLS (Chapters 2–9).
Basic Regression with Panel Data (Chapter 10).
Instrumental Variable Regression (Chapter 12).
Experiments and Quasi–Experiments (Chapter 13).
Big Data Methods (Chapter 14).
Time Series (Chapter 15).
Dynamic Causal Effects (Chapter 16).
Additional Topics in Time Series (Chapter 17).
Students wishing to delve deeper into some of the topics we will cover can consult the following
sources:
Introductory Econometrics: a Modern Approach by Wooldridge. An alternative textbook treat-

ment of many of the topics we plan to cover.
Mastering ’Metrics by Angrist and Pischke. A good complement to the first half of the course.
Introduction to Time Series and Forecasting (2nd Edition) by Brockwell and Davis. A good
complement to the second half of the course.
1 The older ”3rd Edition (Update)”, published in 2015, is equally useful for many topics, although it lacks some
material provided in the 4th Edition. For example, “Big Data” is only covered in the 4th edition of the textbook.

SYLLABUS

Uploaded by

Copyright:

Available Formats

SYLLABUS

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

SYLLABUS

Uploaded by

Copyright:

Available Formats

Syllabus

2. Data collected in experiments and quasi-experiments.

6. Time series data (cointegration and volatility clustering).

December/January Exam: 80 points

To pass the course the student should satisfy two conditions:

B Obtain at least 40 points on the December exam (i.e., 40 out of 80 points)

3 Obtain at least 32 out of 80 points on the December exam.

The outline of the course (with the corresponding chapters in SW textbook):

Review of OLS (Chapters 2–9).

Basic Regression with Panel Data (Chapter 10).

Instrumental Variable Regression (Chapter 12).

Experiments and Quasi–Experiments (Chapter 13).

Big Data Methods (Chapter 14).

Time Series (Chapter 15).

Dynamic Causal Effects (Chapter 16).

Additional Topics in Time Series (Chapter 17).

Introductory Econometrics: a Modern Approach by Wooldridge. An alternative textbook treat-

You might also like

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

SYLLABUS

Uploaded by

Copyright:

Available Formats

SYLLABUS

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

SYLLABUS

Uploaded by

Copyright:

Available Formats

Syllabus

2. Data collected in experiments and quasi-experiments.

6. Time series data (cointegration and volatility clustering).

 December/January Exam: 80 points

To pass the course the student should satisfy two conditions:

B Obtain at least 40 points on the December exam (i.e., 40 out of 80 points)

3 Obtain at least 32 out of 80 points on the December exam.

The outline of the course (with the corresponding chapters in SW textbook):

 Review of OLS (Chapters 2–9).

 Basic Regression with Panel Data (Chapter 10).

 Instrumental Variable Regression (Chapter 12).

 Experiments and Quasi–Experiments (Chapter 13).

 Big Data Methods (Chapter 14).

 Time Series (Chapter 15).

 Dynamic Causal Effects (Chapter 16).

 Additional Topics in Time Series (Chapter 17).

 Introductory Econometrics: a Modern Approach by Wooldridge. An alternative textbook treat-

You might also like

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

December/January Exam: 80 points

Review of OLS (Chapters 2–9).

Basic Regression with Panel Data (Chapter 10).

Instrumental Variable Regression (Chapter 12).

Experiments and Quasi–Experiments (Chapter 13).

Big Data Methods (Chapter 14).

Time Series (Chapter 15).

Dynamic Causal Effects (Chapter 16).

Additional Topics in Time Series (Chapter 17).

Introductory Econometrics: a Modern Approach by Wooldridge. An alternative textbook treat-