HARVARD UNIVERSITY
ECON S - 1123: Introduction to Econometrics
Preliminary Syllabus and Course Outline (Summer 2007)
Instructors: Daniela Kolusheva¸ Can Erbil
Email: danielak@brandeis.edu, cerbil@brandeis.edu
Office hours: TBA
Course web site: TBA
Location and time: TBA
Course Description and Objectives
The objective of the course is to teach students how to use econometric methods to
quantify economic relations. In addition to providing the basic tools to do your own
empirical analysis, ECON S 1123 will help you to become a more sophisticated consumer
of economic and financial research done by others. The emphasis will be on applying
econometrics to real-world problems.
We will start with some probability basics: random variables, probability distributions,
estimation, hypothesis testing and confidence intervals in the simplest bivariate models.
We will then extend our analysis to the multivariate paradigm and enrich it with nonlinear
regression functions, dummy variables and interaction terms. Then we will introduce
regressions with a binary dependent variable and use MLE to estimate probit and logit
models. In the second half of the course we will cover some panel data methods (fixed
effects) and instrumental variables (applications in dealing with measurement error,
simultaneity and omitted variable bias; as well as what valid instruments are). The course
will conclude with an overview of time series (forecasting, stationarity and non-stationarity,
dynamic causal effects).
Prerequisites: Pass proficiency examination, Statistics 100
Required Textbook and Software: Stock and Watson, Introduction to Econometrics
Addison-Wesley, 2nd edition. For empirical exercises we will use STATA (available on the
FAS server).
Evaluation: weekly problem sets (25%); midterm (30%) and a comprehensive final exam
(45%)
Problem sets will be assigned each week and will be due at the beginning of class. Late
submissions will receive only partial credit. The assignments are designed to