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2017　Econometrics II

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Academic unit or major
Undergraduate major in Industrial Engineering and Economics
Instructor(s)
Matsushita Yukitoshi 
Class Format
Lecture     
Media-enhanced courses
Day/Period(Room No.)
Mon7-8(W932)  Thr7-8(W932)  
Group
-
Course number
IEE.B301
Credits
2
Academic year
2017
Offered quarter
1Q
Syllabus updated
2017/3/17
Lecture notes updated
-
Language used
Japanese
Access Index

Course description and aims

This course will cover several methods for analyzing economic data focusing on nonlinear models and panel data analysis. Topics include maximum likelihood estimation, qualitative response models, truncated regression models, sample selection models, and panel data analysis.

Student learning outcomes

The goal of the course is to acquire the ability to use basic methods to analyze empirical data.

Keywords

maximum likelihood estimation, qualitative response models, truncated regression models, sample selection models, panel data analysis

Competencies that will be developed

✔ Specialist skills Intercultural skills Communication skills Critical thinking skills ✔ Practical and/or problem-solving skills

Class flow

At the beginning of each class, solutions to exercise problems assigned during the previous class are reviewed. Towards the end of class, students are given exercise problems related to what is taught on that day to solve.

Course schedule/Required learning

  Course schedule Required learning
Class 1 Least Squares Estimation and Maximum Likelihood Estimation exercise problems related to what is taught on that day
Class 2 Application of Maximum Likelihood Estimation
Class 3 Qualitative Response Models
Class 4 Linear Probability Models
Class 5 Logit and Probit Models
Class 6 Truncated Regression Models
Class 7 Tobit Model
Class 8 Sample Selection Bias
Class 9 Introduction to Panel Data Analysis
Class 10 Panel Data Analysis (Variance Component Models)
Class 11 Panel Data Analysis (Least Squares Dummy Variable Estimation)
Class 12 Panel Data Analysis (Generalized Least Square Estimation)
Class 13 Panel Data Analysis (Fixed Effects and Random Effects)
Class 14 Specification Test
Class 15 Model Selection

Textbook(s)

Asano and Nakamura "Econometrics" (in Japanese)

Reference books, course materials, etc.

Jeffrey M. Wooldridge, Introductory Econometrics, 4th edition

Assessment criteria and methods

exercise problems or quizzes 40%, final exams 60%.

Related courses

  • IEE.B207 ： Econometrics I
  • IEE.B336 ： Applied Econometrics
  • IEE.B405 ： Advanced Econometrics
  • IEE.B434 ： Advanced Topics in Econometrics

Prerequisites (i.e., required knowledge, skills, courses, etc.)

Completing Econometrics I is desirable.

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