ECON 330 Outline - 2023

Lahore University of Management Sciences
ECON 330 – Econometrics

Spring 2022-23
Instructor Syed Zahid Ali

Room No. Academic Block 247
Office Hours TBA
Email [email protected]
Telephone
Secretary/TA Khalid Pervaiz
TA Office TBA
Hours
Course URL (if TBA
any)
Course Basics
Credit Hours 4
Lecture(s) Nbr of Lec(s) Per 2 Duration 90 minutes
Week
Recitation/Lab (per Nbr of Lec(s) Per 1 Duration 50 minutes
week) Week
Tutorial (per week) Nbr of Lec(s) Per 1 Duration 50 minutes
Week
Course Distribution
Core Yes
Elective
Open for Student Undergraduate, Masters
Category
Close for Student -
Category
COURSE DESCRIPTION
This is the second course in the statistics/econometrics core. The course aims to familiarize students with
empirical methods used in much of applied economic research. We learn about the linear regression model,
the OLS estimation method, the assumptions under which OLS has desirable properties, and the
econometric methods that may be used when those assumptions are not satisfied. The purpose of this
course is to teach students basic data analysis by learning how to estimate and interpret regressions and to
give them hands-on experience in using a well-known statistical package, Stata, to work on real data sets. In
addition, through the course discussion forum, we want students to engage with academic and policy
debates using quantitative evidence to develop a deeper appreciation of these methods and their ethical
use in answering important questions. While the emphasis in the course is not on reading research papers,
students will develop familiarity with the tools of quantitative research and will be required to do a small
project.
Students who do well in this course will develop their statistical reasoning skills (i.e., the ability to draw
meaningful and appropriate inferences from data) and become intermediate-level users of Stata (i.e., be
able to write reproducible, even if rudimentary, Stata code for their data analysis needs). Such students will
then be able to take more advanced econometrics courses, develop their data analysis skills further, and/or
do an empirical senior project and MSc thesis.
COURSE PREREQUISITE(S)
 Probability AND Statistics OR Statistics and Data Analysis;
 Microeconomics 1 OR Principles of Microeconomics;
 Macroeconomics 1 OR Principles of Macroeconomics
COURSE LEARNING OUTCOMES
 Be able to develop a suitable regression model for a variety of empirically interesting problems
and validate the selected model via a battery of tests
 Be able to correctly interpret regression estimates and understand where a causal claim is or is
not warranted
 Be able to understand empirical economics research papers using cross-section data and
regression analysis
 Be proficient in the use of Stata for econometric analysis
Grading break up: Component Details and weightages
Attendance: grade reduction will be applied if a student has more than 4 absentees from computer labs
Lab Assignment(s): lab -15%
Homework: – 10%
Sessional Exams: 4 Sessional Exams – 35% {n-1 policy will be applied}
Final: 40%
Sessional Exams: There will be four announced Sessional Exams, which will take place during the semester.
The exams will test students on course reading material (excluding Stata) covered up until that time and the
material tested for one exam will not be excluded from the next exam.
Lab Assignments: We will organize a combined lab session for the class every few weeks in which we will
give students a problem set to be solved individually during the lab timings. The last of these problem sets
may be cumulative of everything covered in Stata labs this term. This counts for 15% of your course grade.
In addition to in-lab problem solving, there will be STATA tutorials every week that cover the material
required to do well in the lab assignments.
Drop-One Sessional Exam Policy/Missed Exam Petitions: The lowest scoring exam for each student will be
dropped before grading. In case of petition, the missed exam will be account for n-1 policy. In case of more
than one petition, a make-up exam will be conducted. Take home assignments and lab assignments will not
be dropped or assign average marks under any circumstances. A late submission may be accepted under
special circumstances, with 10 to 20% or more penalty.
Instrument Grading: All the course instruments are graded as thoroughly, and fairly, as possible and the
process consumes a lot of your TAs’ and instructor’s time. While we encourage student queries meant to
improve learning, please note that your TAs are not authorized to change your marks unless they have
made a tallying mistake.
Examination Detail
Midterm No
Exam
Yes/No: Yes
Combine Separate: -
Final Exam
Duration: 120 minutes
Exam Specifications: - TBA
Textbook(s)/Supplementary Readings
Text Books
1. Gujarati, D., Porter D., and Gunasekar S. 2015. Basic Econometrics. 5 th edition. McGraw Hill
(https://pdfcoffee.com/qdownload/basic-econometrics-5th-edition-by-damodar-n-gujarati-and-
dawn-c-porter-pdf-free.html)
2. Wooldridge, Jeffrey M. 2016. Introductory Econometrics. 6th edition. Cengage.
(https://economics.ut.ac.ir/documents/3030266/14100645/
Jeffrey_M._Wooldridge_Introductory_Econometrics_A_Modern_Approach__2012.pdf
Reference Texts)
1. R. Carter Hill, William E. Griffiths and Guay C. Lim., Principles of Econometrics, 5th Edition

2. Kohler, Ulrich and Frauke Kreuter. 2012. Data Analysis using Stata. Stata Press.
3. Hamilton, Lawrence C. 2006. Statistics with Stata. Thomson Brooks/Cole.
4. Banerjee, Abhijit V., and Esther Duflo. 2011. Poor Economics: A Radical Rethinking of the Way to
Fight Global Poverty. Public Affairs.
5. Levitt, Steven D., and Stephen J. Dubner. 2009. Freakonomics: A Rogue Economist Explores the
Hidden Side of Everything. Harper Perennial.
Online Resources
To learn STATA you may use:
http://www.ats.ucla.edu/stat/stata/
STATA illustrations for all our textbook examples are at:
http://fmwww.bc.edu/gstat/examples/wooldridge/wooldridge.html
The power-point slides for the book are also available at:
http://www.swlearning.com/economics/wooldridge/wooldridge2e/powerpoint.html

COURSE OVERVIEW
Recommended
Readings
Topics
(The readings are all from the Gujarati textbook unless
otherwise indicated)
Introduction
What is econometrics?
The Nature of Regression Analysis Ch.1, 2, 3

Appendix 3A
Two Variable Regression Analysis:
Some Basic Ideas Handouts
Two Variable Regression Analysis:

The Problem of Estimation
Deriving the OLS estimates
Algebraic properties
Deriving statistical properties:
mean and variance
Classical Normal Linear Regression Ch. 4, Ch.5, Ch.6

Model (CNLRM Appendix 5A, Appendix 6A
Two-Variable Regression: Interval
Estimation and Hypothesis Testing
Extensions of the Two-Variable

Linear Regression Model
Multiple Regression Analysis: The Ch. 7, Ch.8

Problem of Estimation Appendix 7A
Multiple Regression Analysis: The

Problem of Inference
Dummy Variable Regression

Models
Relaxing The Assumptions of the Ch. 9, Ch.10, Ch.11, Ch.12

Classical Model Appendix 11A, 12A
a. Multicollinearity
b. Heteroscedasticity
c. Autocorrelation
Econometric Modeling: Model Ch.13

Specification and Diagnostic
Testing

Instrumental Variables Ch. 15 (Wooldridge)

Dynamic Econometric Models: Ch. 17
Autoregressive and Distributed-
Lag Models
Simultaneous Equation Models Ch. 18

The nature of simultaneous
equation models; simultaneity bias
in OLS; Identifying and estimating a
structural equation (vs. reduced
form); systems with more than two
equations
Regression with Time Series Data Ch. 21

Nature of time series data;
Examples of TS models; Finite
sample properties of OLS under
Gauss-Markov assumptions;
Functional form, dummy variables,
index numbers; Trends and
seasonality;

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Lahore University of Management Sciences

ECON 330 – Econometrics

Instructor Syed Zahid Ali

COURSE LEARNING OUTCOMES

Grading break up: Component Details and weightages

1. R. Carter Hill, William E. Griffiths and Guay C. Lim., Principles of Econometrics, 5th Edition

The Nature of Regression Analysis Ch.1, 2, 3

Two Variable Regression Analysis:

Deriving the OLS estimates

Classical Normal Linear Regression Ch. 4, Ch.5, Ch.6

Extensions of the Two-Variable

Multiple Regression Analysis: The Ch. 7, Ch.8

Multiple Regression Analysis: The

Dummy Variable Regression

Relaxing The Assumptions of the Ch. 9, Ch.10, Ch.11, Ch.12

Econometric Modeling: Model Ch.13

Instrumental Variables Ch. 15 (Wooldridge)

Simultaneous Equation Models Ch. 18

Regression with Time Series Data Ch. 21

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