Econometrics I

Description

This course serves as an introductory course to econometrics. It covers the fundamentals of the multiple linear regression model and gives an outlook on time series models and estimators for nonlinear models. The major goal of the class is to provide students with a first equipment to undertake serious empirical work. Thus, there is much emphasis on empirical applications and computer work in the computer lab using Gretl. Major topics covered in the course are:

a) The Multiple Linear Regression Model: LS-Estimation, Tests,
Forecasting, Resticted LS-Estimation
b) Problems of Model Specification: Autocorrelation,
Heteroscedasticity, Functional Form
c) Introduction to Dynamic Models
d) Quantal Response Models
e) Instrumental Variables Estimation
f) Computer Tutorials with Gretl

Prerequisites

Introductory linear algebra, calculus, probability and statistics are treated as prerequisites.

Introductory Literature

Angrist, J.D. and J.S. Pischke (2015): Mastering Metrics: The Path from Cause to Effect, Princeton University Press

Stock, James H. and M. Watson (2015): Introduction to Econometrics, 3rd ed., Pearson

Verbeek, M. (2013): A Guide to Modern Econometrics4th ed.,Wiley

Wooldridge, J. M. (2015): Introductory Econometrics: A Modern Approach, 5th ed.,South Western Cengage Learning

Form of Assessment

The final grade is formed based on two components: Final Exam (80%) and Midterm Exam (20%).

Midterm

The midterm exam will take place on Monday 29th of May. Therefore, we would like to clarify some organizational issues. Since participation in the midterm is mandatory, no registration for the midterm is necessary. However, you have to inform verena.kretz@uni-konstanz.de informally via email about your illness before the midterm exam. Written excuses from a physician have to be handed in at Prof. Pohlmeier’s secretary (Verena Kretz, F329) no later than Tuesday, June 6th, 15:30.


Note that the use of the department’s official form is required:
https://www.uni-konstanz.de/studieren/im-studium/pruefungen/aktuelle-informationen-und-formulare/

For students with a doctoral excuse for the midterm an oral exam (as a midterm retake) will be held on the 9th of June, on Friday, 12:15-18:00 in F208.

The grade for the course is composed as 80% final exam grade + 20% midterm grade. This rule applies only for the first try at the final. If fail/no show without a valid reason during the “Haupttermin”, then the second try (“Nachtermin”) counts 100%. If a student is sick during the first try (“Haupttermin”), then the “Nachtermin” counts as the first try and the 80/20 rule applies. Neither midterm nor final grades are transferred to/from other semesters.

All students MUST do the midterm, since it is a part of the exam. If a student is sick during the first try, he is required to present a doctor’s note and can attend the oral examination. If the student is not present during the first midterm without a valid reason, he gets an automatic 5.0. If a student is ill with the doctor’s note during the first and second midterm dates, he CANNOT take the final exam this year and has to wait for the next year, since having the midterm grade is a must to qualify for the final. The necessary information about the rooms for the midterm will be communicated next week through ILIAS and will be published on the chair web page.

Lecture & Tutorial Dates (Summer Semester 2017)

Lecture
Thursday8:15-9:45 am  A701
 Friday8:15-9:45 amA701
Tutorials   
Group AMonday8:15-9:45 amG530
Group BTuesday3:15-4:45 pmR512
Group CWednesday8:15-9:45 amC358
Group DWednesday11:45-1:15 pmL602
Group EThursday10:00-11:30 amM627
Group FThursday11:45-13:15 amE404

Computer Tutorials
Group AMonday8:15-9:45 amBS217
 Group BTuesday15:15-16:45 amR512
Group CWednesday8:15-9:45 amC358
Group DWednesday11:45-13:15 amBS217
Group EThursday10:00-11:30 amM627
Group FThursday11:45-13:15 amE404

The time schedule for the lectures and the time schedule for the tutorials can be downloaded here.

NOTE:

The Gretl tutorials will only take place in the following weeks (instead of theoretical tutorials):

1. Gretl Tutorial: 01.05.2017 / 05.05.2017 2. Gretl Tutorial: 05.06.2017 / 09.06.2017 3. Gretl Tutorial: 10.07.2017 / 14.07.2017. Note that we will be in the computer lab (BS217) on Monday morning and Wednesday (11.45-13.15). In all the four other sessions you have to use your own notebook. If you have no notebook available please come to one of the two computer lab sessions.

Please note that the tutorial dates might differ from the course overview in the LSF (Vorlesungsverzeichnis)!

Please register for the lecture using ILIAS. The ILIAS password will be announced in the first lecture. Once you are registered, you get all news via mail and you can download the course material.