2018 Applied Econometrics

Font size  SML

Register update notification mail Add to favorite lecture list
Academic unit or major
Undergraduate major in Industrial Engineering and Economics
Instructor(s)
Shimane Tetsuya  Higuchi Yoichiro 
Course component(s)
Lecture / Exercise
Day/Period(Room No.)
Tue5-6(W932)  Fri5-6(W932)  
Group
-
Course number
IEE.B336
Credits
2
Academic year
2018
Offered quarter
2Q
Syllabus updated
2018/4/6
Lecture notes updated
2018/8/10
Language used
Japanese
Access Index

Course description and aims

In this course, We lecture to the students, who learned the econometric theory in econometrics I and II classes, about application of econometric methods for empirical data. Our goal is that the students obtain the ability for the empirical studies.

In this class, we explain some econometric methods and demonstrate the procedure of the analysis using a statistical analysis application software.
Then, as exercise at home, the students run the analysis using the same data.

Student learning outcomes

By the end of this course, students will:
* be able to understand the empirical studies applied econometric methods and to interpret their results.
* be able to build proper models for the subjects of analysis.
* be able to evaluate the validity of the results of empirical analysis.
* be able to make intuitive implications from empirical results.

Keywords

Regression analysis, Hypothesis test, Least squared methods, Generalized least squared methods, Endogeneity, Maximum likelihoods methods, Qualitative choice models

Competencies that will be developed

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

Class flow

In this class, we explain some econometric methods and demonstrate the procedure of the analysis using a statistical analysis application software.
Then, as exercise at home, the students run the analysis using the same data.

Course schedule/Required learning

  Course schedule Required learning
Class 1 Guidance, The forms of Data Sets Explain the difference of data forms between cross-section, time-series, panel.
Class 2 CRM(1) Lest Squared Method, Hypothesis Test (Coefficients) Understand the notion of Ordinary least squared method. Interpret the results of t-test for coefficients.
Class 3 CRM(2) Hypothesis Test (Joint Hypothesis), Model Specification (Overspecification and underspecification) Interpret the results of F-test for joint hypothesis. Explain the problem of overspecification and underspecification.
Class 4 CRM(3) Predictions, Function Forms, Multicollinearity Explain the confidence interval of predictions. Understand the problems of multicollinearity and the appropriate action to them.
Class 5 CRM(4) Panel Data Model(FE, FD), DID Required Learning: Understand the difference between RE model and FE model, and interpret their estimates then. Understand the notion of DID.
Class 6 Review of Classical Regression Model (CRM) Review what was taught during classes 1-5 and conform your understanding through discussion.
Class 7 GCRM(1) Heteroscedasticity Understand the problems of heteroscedasticity and the appropriate action to them.
Class 8 GCRM(2) Panel Data Model(RE) Understand the RE panel data model. Understand the procedure of model specification.
Class 9 Endogeneity(1) Error-in-Variable model, Simultaneous Equations Model, Instrumental Variable Methods Understand the endogeneity in the error-in-variable model and in the simultaneous equations model. Understand the appropriate action to the endogeneity by the instrumental variable estimation.
Class 10 Endogeneity(2) Identification Problem Understand the notion of the identification problem and the appropriate solution to them.
Class 11 Review of Generalized Classical Regression Model (GCRM) and Endogeneity Review what was taught during classes 7-10 and conform your understanding through discussion.
Class 12 Non-linear Regressions(1) Maximum Likelihoods Method, Binary Models Understand the notion of the maximum likelihoods method. Understand the notion of the binary models, and interpret their estimates.
Class 13 Non-linear Regressions(2) Multinomial Models, Ordered Models Understand the notion of the multinomial models and the ordered models, and interpret their estimates.
Class 14 Non-linear Regressions(3) Truncated/Censored Dependents, Tobit Model Understand the problems of truncated/censored dependents. Interpret the estimates of Tobit modes.
Class 15 Non-linear Regressions(4) Selectivity Bias, Heckit Model Understand the problems of the selectivity bias. Interpret the estimates of Heckit model.

Textbook(s)

Seki Asano and Jiro Nakamura (2009), "Econometrics", 2nd edition, Yuhikaku (Japanese)

Reference books, course materials, etc.

Materials used in class can be found on OCW-i.
Tanaka, Ryuichi. 2015. First Steps in Econometrics, Tokyo: Yuhikaku (Japanese).
Wooldridge, Jeffrey M. 2012. Introductory econometrics: a modern approach. Mason, OH: South-Western Centavo Learning.
Minotani, Chikio and Atsushi Maki eds. 2010. The handbook of applied econometrics, Tokyo: Asakura-shoten (Japanese).
Angrist, Joshua David, and Jörn-Steffen Pischke. 2009. Mostly harmless econometrics: an empiricist's companion. Princeton: Princeton University Press.

Assessment criteria and methods

Exam 50%, exercise problems 50%.

Related courses

  • IEE.B207 : Econometrics I
  • IEE.B301 : Econometrics II

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

Students must have successfully completed both Econometrics I (IEE:B207) and Econometrics II (IEE:B301) or have equivalent knowledge.

Page Top