ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Econometrics and its Estimation Problems I (ecmn11)
Plan (The problems of econometrics and what to do about them)
A.
Multicollinearity
B.
Heteroskedasticity
C.
Autocorrelation
D.
II.
Endogeneity Si
ECONOMICS 438
EMPIRICAL METHODS IN ECONOMICS
2011
Home Work III
Due December 6, 2011
Answer the below questions. Do only as instructed. Read the questions carefully.
Provide me with a printout with the computer results. In the verbal part of the
question,
ECONOMICS 438
EMPIRICAL METHODS IN ECONOMICS
2011
Home Work II
Due December 1, 2011
Answer the below questions. Do only as instructed. Read the questions carefully.
Provide me with a printout with the computer results. In the verbal part of the
question,
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Notes (ecmn03) -OLS Regression
OLS Regression Single Variable
Y = b 0 + b1 X + e i
A.
Why do we use it? (Applies to more than one right-hand side
variable)
A.1. Easy
A.2. Theory ok in most circumst
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Specification Omitted Variables and Irrelevant Variables (ecmn08)
Plan Specification
A.
B.
Specification problem of what variable to include in the Model
Three problems two statistical and one theo
Questions for Final Test for Econ. 438 Fall 2011.
1.
Describe the problem of endogeneity and its effect on the results of an OLS regression estimate.
2.
Describe the problem of heteroskedasticity and its effect on the results of an OLS regression
estimate
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Notes (ecmn04) Steps in Doing a Regression Project
Setting up a regression model
Y = b 0 + b1 X 1 + b2 X 2 + b3 X 3 + e t
A.
Steps in doing regression
A.1. Review the literature
A.1.a)
Search the s
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Notes (ecmn02)
Three Examples of Regression analysis plus a demonstration study I
(Islam and GDP)
A.
Examples
A.1. Oil Demand Brown et al
A.2. Price Fixing Lean et al
A.3. Efficient markets and CAP
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Notes (ecmn07) t and F Tests
Here we present
A.
B.
t tests - individual coefficients
F tests
B.1. Whole equation
B.2. Hypotheses about the equation and it's coefficients
II.
t tests - testing indiv
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Theory and Econometrics (ecmn10)
Plan
A.
Goal - Connect theory to the econometric model
B.
Trace your model back to a theory
B.1. Types of theorizes
B.2. The requirements for a good econometric mod
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Notes (ecmn06) Hypothesis Testing
Problem of hypothesis testing
A.
General Set Up
B.
Regression
B.1. Standard error of the residual
B.2. Combining the standard error of the residual into the
standa
Questions for Mid-Term Test for Econ. 438 Fall 2011.
1.
Explain the five Classical assumptions behind the OLS model. Give some indications of the
implications of these assumptions.
2.
Explain and graphically depict the nature of autocorrelation and explai
ECONOMICS 438
Empirical Methods in Economics
Fall 2011
I.
Setting Up the Paper (ecmn09)
Plan Specification
A.
The Research Paper
A.1. Examining the Literature
A.2. Developing the Theory
A.3. Specifying the Model
A.3.a)
A.3.b)
A.3.c)
Variables
Functional f
ECONOMICS 438
EMPIRICAL METHODS IN ECONOMICS
2011
Home Work I
September 13, 2011
Answer the below questions. Do only as instructed. Read the questions carefully.
Provide me with a printout with the computer results. In the verbal part of the
question, use