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Instituto de Economı́a

Universidad Católica de Chile

ECONOMETRÍA I EAE-250A
Prof. Eke 2nd Semester 2013

Contact Information:
Professor: Burcu Eke Rubini (burcueke@gmail.com)
Class Time: M-J:2 (room 209)
Recitation (Ayudantes): J:6 (room 105)
Office Hours: can be scheduled by e-mail
WebPage: TBA
Prerequisites: Inferencia Estadı́stica EAS-201A
Microeconomı́a I EAE-210B

Objective:
This course offers an introduction to widely used econometric techniques and helps the students to apply
these techniques to specific problems in economics, finance, business administration and other social
sciences. At the end of this course, the students are expected to be able to perform the generalized
linear regression model, interpret the results in the sense of economics, perform statistical inference,
make predictions with statistical validity, and realize the potential limitations of the empirical analysis.

Evaluation and Grading:


The grading of the course will be based on 2 midterms, 4 quizzes, 3 applied projects, and the final
exam. It is compulsory to take the final exam.
The midterms and the exam will be on the dates predetermined by the Faculty:

Midterm 1: Wednesday September 11, from 11:30 to 12:50 (room 220)


Midterm 2: Wednesday October 23, from 11:30 to 12:50 (room 220)
Final Exam: Friday November 29, from 14:00 to 16:00 (room 220)

The purpose of the quizzes are to encourage and award the study process throughout the semester.
The quizzes will take place during recitation hour, and the dates will be announced in advance, on a
later date.

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The three applied projects can be done in groups on maximum 3 people. They will be due in the
beginning of the class on following dates:

Project 1: September 17, Tuesday, M:2


Project 2: October 15, Tuesday, M:2
Project 3: November 19, Tuesday, M:2

The final grade (FG) will be calculated as follows:

NF = 40% × average of the midterms +


30% × final exam +
15% × average of the highest three quiz grades +
15% × average of the projects

In order to pass the course, one is required to pass the 85% of the grade based on the midterms,
final exam and the quizzes. That is, one cannot use the project to pass the course.
All the requests for revisions should be done within a week after the grades are announced. This
should be done following the current university policy, and with a clearly explained written request.The
exams/midterms fully or partially done using a pencil are not entitled to revisions. All the changes, if
any, will be done at the end of the semester.
Finally, during the semester there will be a Teaching assistant sessions (recitations) that are essential
for the success in this course. The specific dates will be announced.

Academic Integrity:
Students are expected to be ethical, honest and accountabile during their academic activities. The
students with improper behavior during any evaluation will automatically fail the course and the proper
actions based on Faculty rules will be taken.

Topics:
To reach the objectives of this course, the following material will be covered:
• Introduction
– Economic model
– Structure of economic data
– Causal analysis and ceteris paribus
• Review of probability, statistics, and matrix algebra
– Probability distributions
– Properties of estimators, statistical inference and hypothesis tests
– Systems of linear equations
– Eigenvectors and eigenvalues
– Matrix differentiation
• Multiple linear regression model (MLR)
– MLR as a probabilistic model
– OLS estimation of MLR and its properties
– Gauss-Markov theorem
– Statistical Inference and hypothesis tests in MLR models

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• Specification tests
– Nonlinearities
– Multicolinearity
– Measurement errors
– Inclusion and omission of variables
• Maximum likelihood, Generalized OLS, and Instrumental variables
– Maximum likelihood estimation of the linear model
– Likelihood, Wald, and Lagrange multipliers tests
– Instrumental variable estimation
– Non-normality of the errors
• Heteroscedasticity and autocorrelation

– Testing for heteroscedasticity


– Stochastic processes of the error terms
– Testing for autocorrelation
• Introduction to other topics

– Time series
– Panel data models

References:
• Textbooks:
– Baum, C. F. (2006), An Introduction to Modern Econometrics Using Stata, Stata Press.
– Wooldridge, J. M. (2008), Introductory Econometrics, Thomson South-Western, 4th edition.
• Additional material:

– Gujarati, D. N. (2006), Principios de Econometr?a, McGraw-Hill, 3ra edici?on.


– Johnston, J. y J. DiNardo (1997), Econometric Methods, McGraw-Hill, 4th edition.
– Stock, J. H. y M. W. Watson (2006), Introduction to Econometrics, Pearson Addison Wesley,
2nd edition.
– Wooldridge, J. M. (2002), Econometric Analysis of Cross-Section and Panel Data, MIT Press.

Acknowledgements:
The material of this course is based on the documents prepared by by Jaime Casassus, Angela Denis,
Verónica Gil, Felipe Lira, Christian Salas and Raimundo Soto. I would like to thank you for providing
access to this material. 1

1 Disclaimer: This syllabus is not a contract. The instructor reserves the right to alter the course requirements, schedule,

and/or assignments based on new materials, class discussions, or other legitimate pedagogical objectives. Students will be
given notice of relevant changes in class or via e-mail. This disclaimer does not abrogate any student rights as described
by University rules and regulations.

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