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ECN 4122 Econometrics Semester I 2013/2014 Credit Hours Pre-requisite : 4(3+1) : ECN 3122

Lecturer
Lecture Hours Consultation Hours

: Prof. Dato Dr. Ahmad Zubaidi Baharumshah (E230)


: 10.00am-12.00noon (Tuesday and Thursday) : After class (or by an appointment)

Econometrics opens a window on our complicated world that lets us see the relationships on which people, business, and governments base their decisions.Stock and Watson (2003)

ECN 4122 is a course in introduction to econometrics. No previous knowledge in econometrics is required. However, a background in calculus, matrix algebra and statistic is assumed. We will basically deal with single equation models. The purpose of this course is to provide an elementary but comprehensive introduction to the art and science of econometrics. The lectures will be supplemented with homework sets and reading. Please switch off your hand phone while attending the class.

Course Synopsis A thorough statement of regression problem, and comprehensive treatment of the assumptions and concept of the general linear model. Topics include correlation coefficient, linear dependence of one variable, multiple regression model, minimization methods, the general linear model, transformation, dummy variables, autocorrelation, heteroscedasticity, multicollinearity, generalized least square, and dynamic model: interpretation and estimation.
Satu kenyataan yang teliti mengenai masalah regresi dan penerangan yang menyeruluh mengenai andaian dan konsep model linear. Tajuk termasuk pekali korelasi, persandaran satu pembolehubah secara linear, model regresi berbilang, kaedah pengurangan, model linear, transformasi, pembolehubah dami, autokorelasi, heteroskedastisiti, kekolinearan berbilang, teknik ganda dua terkecil teram dan model dinamik: tafsiran dan anggaran.

Grading You will be given problem sets on some important topics for practice. All students are required to complete and submit all written assignments before the dateline. Late submission will not be accepted. The attendance for tutorial is required. Examination date for the first and second test will be announced 2 weeks before the exam. Assignments/Tutorial First Test Second Test Final 20% 20% 20% 40% (Including Lab Exercises) (Topics 1-4) (Topics 5-6) (Comprehensive)

Course Outline 1. Introduction 1.1 Methodology of econometrics 1.2 The nature of regression analysis 2. Background Material 2.1 Review of some statistical concepts (see Gujarati & Porter, 2009a, Appendix A) 2.2 Review of matrix algebra (Appendix B) 2.3 The matrix approach to linear regression model (Appendix C) 3. Estimation 3.1 Properties of least-squares estimators 3.2 Methods of estimation 4. The Simple Two-Variable Model 4.1 Assumptions underlying classical linear regression model (CLRM) 4.2 Least square under ideal conditions 4.3 Hypothesis testing and interval estimation 4.4 Functional forms of regression models 5. Multiple Regression Model 5.1 The CLRM assumptions, again 5.2 Estimation 5.3 OLS estimator under ideal conditions 5.4 Hypothesis testing and significant tests 6. Violation of Basic Assumptions 6.1 Nonnormality and nonzero mean 6.2 Heteroscedasticity 6.3 Autocorrelation 6.4 Stochastic explanatory variables 6.5 Multicollinearity 7. Some Applications 7.1 Dummy variable regression models 7.2 Model specification and diagnostic testing 7.3 Dynamic economic models 7.4 Time-series data - some preliminary analysis

Text Book and References Gujarati, D.N. & Porter, D.C. (2009a). Basic Econometrics (5th ed.). New York: Mc Graw Hill. Gujarati, D.N. & Porter, D.C. (2009b). Essentials of Econometrics. New York: Mc Graw Hill. Stock, J.H. & Watson, M.W. (2007). Introduction to Econometrics. Pearson: Addison-Wesley. Johnston, J. (1972). Econometric Methods (2th ed.). New York: Mc Graw Hill. Judge, G.G., Hill, R.C., Griffiths, W.E., Lutkepohl, H. & Lee, T.-C. (1988). Introduction to the Theory and Practice of Econometrics (2th ed.). John Wiley & Sons, Inc.

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