Simon Fraser University
Engaging the World

Course Outlines

Fall 2023 - ECON 835 G100

Econometrics (4)

Class Number: 2877

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 6 – Dec 5, 2023: Fri, 9:30 a.m.–12:20 p.m.
    Burnaby

  • Prerequisites:

    ECON 435 and ECON 798.

Description

CALENDAR DESCRIPTION:

An introduction to econometric theory. Applications of econometric methods to both time series and cross-section data. Offered once a year.

COURSE DETAILS:

An introduction to econometric theory. Applications of econometric methods to both time series and cross-section data. Offered once a year.

This is an introductory graduate-level course in econometrics.  This course is designed to introduce students to the fundamental tools of econometrics. The primary goal of the course is to provide students with an in-depth understanding of the classical linear regression model (CLRM) and the key identification assumptions.  Upon completing the course, successful students will be able to formulate econometric models, manage data and estimate regressions, and interpret results (sign, significance, and magnitude).  Successful students will understand finite and asymptotic properties of commonly used estimators, hypotheses testing, identification, estimation, accurate inference, linear, instrumental variables, logit/probit, and maximum likelihood regressions. The course will include the application of methods and key concepts using a statistical programming software (R). No prior knowledge of R is needed, but basic introductions prior to the course beginning will be extremely helpful (https://r4ds.had.co.nz/).

Topics (subject to modification):

  1. The Conditional Expectation Function (CEF)
  2. Ordinary Least Squares (OLS)
  3. Finite Sample Properties of OLS estimator
  4. Large Sample Properties of OLS estimator
  5. Assumption of normality, Central Limit Theorem and hypothesis testing
  6. Maximum Likelihood Estimation (MLE)
  7. Endogeneity
  8. Instrumental Variables (IV) and Generalized methods of moments (GMM)
  9. Instrumental Variables (IV) and Generalized methods of moments (GMM)
  10. Panel data

 

 

 

Grading

  • Assignments/projects 30%
  • Lecture participation 5%
  • 1st Midterm exam 20%
  • 2nd Midterm exam 20%
  • Final exam 25%

NOTES:

Grades will be available via Canvas. Late assignments will not be accepted. Attendance at lectures is mandatory.

Materials

REQUIRED READING:

We will primarily rely on lecture notes and I will provide other required resources each week via Canvas.


REQUIRED READING NOTES:

Your personalized Course Material list, including digital and physical textbooks, are available through the SFU Bookstore website by simply entering your Computing ID at: shop.sfu.ca/course-materials/my-personalized-course-materials.

Graduate Studies Notes:

Important dates and deadlines for graduate students are found here: http://www.sfu.ca/dean-gradstudies/current/important_dates/guidelines.html. The deadline to drop a course with a 100% refund is the end of week 2. The deadline to drop with no notation on your transcript is the end of week 3.

Registrar Notes:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

SFU’s Academic Integrity website http://www.sfu.ca/students/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating. Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the university community. Academic dishonesty, in whatever form, is ultimately destructive of the values of the university. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the university. http://www.sfu.ca/policies/gazette/student/s10-01.html

RELIGIOUS ACCOMMODATION

Students with a faith background who may need accommodations during the semester are encouraged to assess their needs as soon as possible and review the Multifaith religious accommodations website. The page outlines ways they begin working toward an accommodation and ensure solutions can be reached in a timely fashion.