INSTRUCTORS:
Trương Đăng Thụy
Ph.D,University of Alberta, Canada, Canada
Phạm Thị Bích Ngọc
PhD, University of Kiel, Germany
Phạm Đình Long
PhD, University of Kiel, GermanyAddress
1A Hoang Dieu, Ward 10, Phu Nhuan, HCMC View mapIn this course, we study how economists use econometric models to analyze data, and in so doing, investigate the real world and suggest policy implications to policy makers. This course introduces the standard methods for estimating relationships between observed variables, and testing hypotheses about economic relationships based on economic theories.
The objective of the course is to introduce participants the power of econometric methods as well as their limitations. The focus will be on the estimation of econometric models, and interpretation of the estimation results. Econometric models that are widely used in journal articles are introduced in the course. For each model, students will be introduced the uses, the implementation of the model using econometric package (Stata), and the interpretation of the estimation results.
Session 1: Introduction to the course
Session 2: Linear regression model [textbook 1 – Chapter 1]
Session 3: Functional forms [textbook 1 – Chapter 2]
Session 4: Qualitative regressors [textbook 1 – Chapter 3]
Session 5: Multicollinearity [textbook 1 – Chapter 4]
Session 6: Heteroskedasticity [textbook 1 – Chapter 5]
Session 7: Specification errors [textbook 1 – Chapter 7]
Session 8: Logit and probit model [textbook 1 – Chapter 8]
Session 9: Multinomial logit model [textbook 1 – Chapter 9]
Session 10: Tobit model and selection model [textbook 1 – Chapter 11]
Session 11: Ordered probit/logit model [textbook 1 – Chapter 10]
Session 12: Count data model [textbook 1 – Chapter 12]
Session 13: Panel data models [textbook 1 – Chapter 17]
Session 14: Endogeneity and Instrumental variables [textbook 1 – C19 and [3] C12]
Session 15: Generalized method of moments [textbook 3 – Chapter 15]
Session 16: Simultaneous system of equations [textbook 3 – Chapter 10, 13]
Session 17: Autocorrelation [textbook 4 – Chapter 6]
Session 18: Stationery and non-stationery time series [textbook 4 – Chapter 7&8]
Session 19: Cointegration and Error Correction Model [textbook 4 – Chapter 8]
Session 20: ARCH and GARCH model [textbook 4 – Chapter 9]
Students have to do 4 assignments during the course.
- Assignment 1: The Linear Classical Model
- Assignment 2: Models for limited dependent variables
- Assignment 3: Time series econometrics
- Assignment 4: Other topics in econometrics
Course evaluation is based on a combination of 4 assignments, and the final exam. The evaluation for the course is as follows:
- 4 assignments x 20% each: 80% (to be delivered)
- Final exam: 20%
- Gujarati D. (2011) Econometrics by Example, Palgrave Macmillan.
This book also has a useful website at: https://www.macmillanihe.com/companion/gujarati-econometrics-by-example-2e/learning-resources/Data-sets/. - Gujarati D. (2008). Basic Econometrics, 5th Edition, McGraw-Hill.
- Greene W.H. (2012) Econometric Analysis, 6th edition, Prentice Hall.
- Brooks C (2014) Introductory Econometrics for Finance, 3rd Cambridge University Press.
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