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ECON403 – Econometrics 2

Prerequisite: ECON305 (751305)

Course Description

Basic econometric tools, Econometrics for time series, cross sectional, and panel data, Econometric tools for other analyses.

Course outline

Midterm parts

  1. Introduction to Econometric tools
  2. Econometric tools for time series
  3. Econometric tools for cross sectional data

Final Parts

  1. Econometric tools for panel data
  2. Econometrics for Limited dependent variables
  3. Econometric tool for structural analysis (SEM)

Grading

  1. A >= 80
  2. B+ >= 75
  3. B >= 70
  4. C+ >= 65
  5. C >= 60
  6. D+ >= 55
  7. D >= 50
  8. F <= 50

Assessment

  1. Midterm = 20
  2. Final = 20
  3. Quiz = 10
  4. Two Course Projects = 40 (20 each)
  5. Attention = 10

Exam

Midterm: 4th March 2017 13:00 – 16:00 hours

Final: 14th May 2017 12:00 – 15:00 hours

Textbooks

  • Hansen (2017). Econometrics. (PDF)
  • Woodrige, J. (2012). Introductory Econometrics. 5 eds. (PDF)
  • Kline, R.B. (2011) Principle and Practice of Structural Equation Model. 3 eds. (PDF)

Slides

  1. Introduction

2. Review of Time series Econometrics

R workshop with Rob J Hyndman’s FPP book (link)

fpp

3. Correlations and Regression

Download slide here

https://piboonrungroj.files.wordpress.com/2013/05/screen-shot-2016-06-20-at-09-43-01.png?w=620

Data

R Code

  1. Import data,  covariance, correlation and plot

# 7th March 2017

# download data
econ403 <- read.csv("C:/Users/Econ-lab/Desktop/econ403.csv")

#list of variable
names(econ403)

# covariance
cov(econ403$time, econ403$tourist)

# correlation coefficient
cor(econ403$time, econ403$tourist)

# basic xy plot
plot(econ403$time, econ403$tourist)

# customising the xy ploy
plot(econ403$time, econ403$tourist,
xlab = "time (year)",
ylab = "number of tourists",
main = "Time serie plot of tourists from China",
col = "blue")

Assignments 

  1. Time Series / Cross Sectional / 
    In a group of three, pick an economic data in world bank website and analyse using econometric tools for time series and panel data analysis taught in the class. Submit a report of 1,000 words with associated outputs (numbers and graphs) –
    Due date: before the midterm exam
  2. A Structural Equation Model
    In a group of three students, please develop a structural equation model to test economic relationships of any variables given.  Then write a 1,000 words of report. In the report, there should be a section explaining the duty of each member.
    Due date: before the Final exam
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