COORDINADOR: Julio Cáceres

GROUPS:

Grado
de Economía

Doble grado de Economía-Derecho

DESCRIPTION:

This is an introductory course to applied research in Economics. Linear
econometric techniques together with the required programming skills
will be studied. Actual examples of influential studies will be
presented, and in some cases, replicated in computer sessions.

PRE-REQUISITES AND GENERAL ASPECTS:

Students are expected to have completed an introductory course on
Econometrics. It is the student's responsibility not to enroll in a
group whose schedule coincides with that of another subject in which
they are enrolled. NO DATE AND TIME READJUSTMENTS WILL BE ALLOWED IN THE EVALUATION TESTS DUE TO CONFLICT OF SCHEDULES OR FOR INTERNATIONAL STAYS.

SYLLABUS:

Data Management and linear regression: Linear regression model :
Interpretation of parameters , basic assumptions and estimation by
ordinary least squares ( OLS). Variance estimators , asymptotic
properties . Model interpretation . Hypothesis testing . Use and
organization of gretl databases . Gretl regression .

Models of binary dependent variables.

Instrumental Variables: Endogenous explanatory variables.
Valid instruments. Tests of
endogeneity and overidentifying restrictions.

Policy Evaluation. Pooled Data with repeated cross-sections. The OLS estimator as difference-in-differences estimator.
Panel data. Unobservable heterogeneity. First difference estimator, fixed effects and random effects..

ORGANIZATION:

The course is spread over 14 weeks, with 2 weekly classes of 1.5h:

- 1 lecture (theory and also discussion of empirical papers)
- 1 reduced group (empirical work.)

All course materials (program, notes, and exercises) will be
available at this webpage.

Software: Gretl (freeware you can download here)

TEXBOOKS:

Although the course does not follow any particular textbook, plenty of
material is taken from the following books and they are a very useful
reference to extend the material we see in class.

Stock, J.H. and Watson, M.M.
Introduction to Econometrics, Third Edition

Angrist and Pischke, Mostly Harmless Econometrics. Princeton University Press

Goldberger, A.S. Introductory Econometrics, Harvard University Press.

Kennedy, P. A Guide to Econometrics, Blackwell Publishing.

Wooldridge, J.M. Introduction to Econometrics: A Modern Approach. PTL Press.

Joshua Angrist and Jörn-Steffen Pischke. Mastering 'Metrics. The Path from Cause to Effect. Princeton University Press. 2014

Angrist and Pischke, Mostly Harmless Econometrics. Princeton University Press

Goldberger, A.S. Introductory Econometrics, Harvard University Press.

Kennedy, P. A Guide to Econometrics, Blackwell Publishing.

Wooldridge, J.M. Introduction to Econometrics: A Modern Approach. PTL Press.

Joshua Angrist and Jörn-Steffen Pischke. Mastering 'Metrics. The Path from Cause to Effect. Princeton University Press. 2014

EVALUATION:

Students are supposed to read the notes and the papers included in the
program, even if the material is not covered in class, solve all the
exercises (even those not solved in class), and learn how to use Gretl
to write their own econometric routines.

The continuous evaluation is based on three assessments. Each of
these evaluations is made of a quiz and participation. Each of the
quizzes cannot be taken on any dates or times other than those
established at the beginning of the semester for each of the groups. Not
taking one of the quizzes will mean a grade of zero in this evaluation,
and not taking to two of the quizzes will mean a final grade of zero.
Those students who have not taken one of the quizzes but have taken the
remaining ones, in the last week of the course could take a recovery
quiz to replace the grade of zero in the missing quiz. The
participation grade will be implemented by each instructor with a
weighting of 10% of each evaluation. Finally, the weighting of each
evaluation in the continuous evaluation grade will be 25% (first
evaluation), 35% (second evaluation), and 40% (third evaluation).

The recovery quiz will be schedule in the last week of the course and it will cover the material that has not been evaluated.

- "Convocatoria Ordinaria" Final Grade = Continuous Evaluation

- "Convocatoria Extraordinaria" Final Grade= max{Continuous
Evaluation ; Final}

© 2015 UC3M - Departamento de Economía