CARLETON UNIVERSITY

CARLETON UNIVERSITY Department of Economics ECON 4706 B ECONOMETRICS I 2012 Fall

INSTRUCTOR: Dr. Gubhinder Kundhi OFFICE: D-893 Loeb Building PHONE: 613-520-2600 x 3759 EMAIL: [email protected] SCHEDULE: Southam 520, Fridays, 8:35am – 11:25am OFFICE HOURS: TBA ______________________________________________________________________________ COURSE DESCRIPTION: This course provides an introduction to the field of econometrics. More specifically, it focuses on the classical normal linear regression model. Topics to be covered include: estimation methods, hypothesis testing, and the problems of multicollinearity, heteroskedasticity, and autocorrelation. ECON 4706 is a required course for the B.A. Honours in Economics, the B.A. Honours in Economics with Concentration in Financial Economics, the B.A. Honours in Economics with Concentration in International Political Economy, and the B.A. Honours in Economics with Concentration in Development. It precludes additional credit for ECON 3706. PREREQUISITE: The prerequisites for this course are ECON 2201 (or equivalent) with a grade of C+ or higher, and ECON 2202 (or equivalent) with a grade of C+ or higher, as outlined in the 2012-2013 Undergraduate Calendar. Students who believe they have taken a similar background course or courses from another university must provide appropriate documentation to the Department of Economics Undergraduate Advisor, Amanda Wright (LA C875). COURSE OUTLINE: 1. Introduction and Statistical Review, Gujarati - Introduction, Ch.1, and Appendix A. 2. Two-Variable Regression Model: Basics, Gujarati - Ch. 2. 3. Two-Variable Regression Model: Ordinary Least Squares Estimation, Gujarati - Ch. 3. 4. Two-Variable Regression Model: Normality Assumption, Gujarati - Ch. 4. 5. Two-Variable Regression Model: Inference, Gujarati - Ch. 5. 6. Two-Variable Regression Model: Extensions, Gujarati - Ch. 6. 7. Multiple Regression Model: Estimation, Gujarati - Ch. 7. 8. Multiple Regression Model: Inference, Gujarati - Ch. 8. 9. Multicollinearity, Gujarati - Ch. 10. 10. Heteroskedasticity, Gujarati - Ch. 11. 11. Autocorrelation, Gujarati - Ch. 12.

-2REQUIRED TEXTBOOK: Gujarati, D .N. and Porter, D.O. (2009), Basic Econometrics (5th Edition). New York, NY: McGraw-Hill. Please make sure that you have a Carleton (Connect) account and access to cuLearn. All correspondence such as Assignments, and other important messages will be posted on cuLearn. Students are strongly advised to log on to their accounts very regularly to check for this information. To access cuLearn and the Carleton (Connect) email system, students require a Student Computing Account. To obtain a Student Computing Account, students should access www.carleton.ca/portal or contact the CCS Service Desk, located at 509 MacOdrum Library (telephone: 613-520-3700). GRADING SCHEME: The final grade in this course will consist of the following elements weighted as shown below: 1. 2.

Assignments Final examination

40% 60%

This percentage grade will then be converted into the alphabetical grade system using the standard equivalences, as outlined in Section 2.3 of the Academic Regulations of the University in the 2012–2013 Undergraduate Calendar. Failure to write the final examination will result in a grade of ABS. In order to write a deferred examination, students must contact the Registrar’s Office. (For further details, see Section 2.5 of the Academic Regulations of the University in the 2012–2013 Undergraduate Calendar.) In the event that a student writes a deferred examination, the deferred examination will carry the same weight as the final examination in determining the course grade. Needless to say, any deferred examination will not be identical to the original final examination. DEF(erred final grade) status at the end of this course precludes (continued) registration in any other course for which the former is a prerequisite. Note that, standing in a course is determined by the course instructor, subject to the approval of the Faculty Dean. This means that grades submitted by the instructor may be subject to revision. No grades are final until they have been approved by the Dean. There will be a total of four required assignments each worth 10%. The assignments will be composed of theoretical and applied questions. Applied exercises will require the use of computer software. An integral part of the course will be the use of the SHAZAM (Professional Edition) econometrics package which is available on the university system. Personal copies of SHAZAM for IBM-compatible PCs will be available for download under Carleton’s SHAZAM site-licence. Details will be provided in class. Instructions on the installation and use of this software will be provided as the course progresses.

-3All assignments are due at the beginning of the class on the due date. Late assignments will not be accepted. Students may wish to work together on assignments, BUT each student MUST write up his/her assignments INDEPENDENTLY. Independent work on assignments is the best way to understand the material. Please ensure that you are familiar with and comply with the Carleton University Academic Regulations as they apply to Academic Integrity: calendar.carleton.ca/undergrad/regulations/academicregulationsoftheuniversity/acadregsuniv14/# 14.3 CLASSROOM CONDUCT: Carleton University has a commitment to provide a safe environment conducive to learning. It is a violation of the standards of academic integrity for a student registered in a class to disrupt the class or other period of instruction with any action or behaviour reasonably judged by the instructor or teaching assistant to be detrimental to the class (Academic Integrity Policy, Section VI.8). Instructors are required to report all suspected cases of violation of these standards to the Faculty Dean.

STUDENTS REQUIRING SPECIAL ACCOMMODATION: Students requiring special accommodation should contact the Paul Menton Center for Persons with disabilities to complete necessary letters of accommodation– www.carleton.ca/pmc. After registering with the PMC, make an appointment to meet and discuss your needs with me at least two weeks prior to the first in-class test or midterm exam. This is necessary in order to ensure sufficient time to make the necessary arrangements. Please note the deadline for submitting completed forms to the Paul Menton Centre is November 11th 2012 for Fall term courses. For Religious Obligations

For Pregnancy

To be worked out on individual basis with instructor. Consult Equity Services Website or an Equity Advisor (ext. 5622) for Policy and list of Holy Days www.carleton.ca/equity/accommodation Contact Equity Services (ext. 5622) to obtain letters of accommodations. www.carleton.ca/equity/accommodation

PLAGIARISM: Please be aware that plagiarism is a serious offense and should be recognized and avoided. For further information on how to do so, please see ‘Pammett on Plagiarism and Paraphrasing’ at www.carleton.ca/economics/courses/writing-preliminaries. IF YOU HAVE ANY PROBLEMS AND QUESTIONS, PLEASE DO NOT HESITATE TO ASK FOR HELP.