Quantitative Methods 2

Michaelmas term 2008

Victoria Bateman, Lincoln College and Economics Faculty

OBJECTIVES

The aim of this course is to expand students’ knowledge of quantitative methods, giving a particular emphasis to applied econometric techniques. It attempts to provide useful analytical tools for those willing to carry out empirical work in their professional life, and to give those interested in an academic career the theoretical background needed to approach more advanced courses in econometrics.

To achieve this, the course is organised around theoretically-oriented lectures but with only limited mathematical formalisation and extensive reference to practical applications. The discussion of theoretical topics will be complemented with a close reading of professional literature, where students will be able to see how practitioners use these tools. Also, since the focus is on applied methods, computer applications form an integral part of the course and extensive use is made of STATA, one of the most widespread statistical packages used to perform econometric analysis.

On completion of the course, the student should be able to understand the basic linear regression model, how it is used to test a variety of theories, which kind of problems arise when the assumptions behind the model are violated, and how the researcher can overcome such problems. More advanced topics will also be discussed such as model specifications and misspecifications, the use of qualitative information, time series analysis, panel data models, the problem of endogeneity, and limited dependent variables and truncation models.

(N.B.: In order to balanceapplied and theoretical econometrics, the material will be presented without resorting to matrix algebra and no advanced skills in mathematics or statistics are required to follow the course. Students must, however, be prepared to adapt to new statistical concepts and symbols commonly used in discussing econometric theory.)

COURSE ARRANGEMENTS

There will be nine sessions in the Michaelmas Term, beginning in Week 1 and continuing to Week 9. Each session will last about two-and-a-half hours. These will take place:

• Mondays, 10.30-13.00, Weeks 1 to 9 (Michaelmas term)
• Computing Room in the History Faculty Building (The Old Boys' School) in George Street

Each session consists of a lecture on a theoretical topic, discussion of professional journal articles, and hands-on work on the computer. As in other intensive courses, this will require a considerable effort and students are expected to perform a series of tasks:

• Hand in weekly problem sets;
• Do a series of data analysis exercises during the computing sessions;
• Prepare a presentation of a selected paper to be discussed in class

Only after these tasks are fulfilled successfully can the course teacher, as required by Examination Regulations, confirm a candidate's satisfactory participation in the course to the board of examiners.

BIBLIOGRAPHY

The course textbook will be:

• Wooldridge, Jeffrey [2006]; Introductory Econometrics:
  A Modern Approach –Third Edition- (Thomson/South-Western)

The programmewill follow the structure of this book and many of the exercises will be taken from it, or make reference to it. Students are advised to make provisions to have access to a copy of it during Michaelmas term.

For some specific topics, additional readings will be suggested from textbooks such as Gujarati’s Basic Econometrics [2003], Kennedy’s A Guide to Econometrics [2003], Pindyck & Rubinfeld’s Econometric Models and Economic Forecasts [1998], or Thomas’ Modern Econometrics: An Introduction [1996], as well as from professional articles. All these will be detailed in a full reading list to be distributed in the first class.

COMPUTING FACILITIES

Students may use the Computing Room in the Faculty of History (The Old Boys' School) in George Street, 8 am till 8 pm seven days a week, unless the room is being used for a class. There are 19 computersconnected to an A4 printer. An A3+ sized scanner is also available. Access to the building and the room is by swipe card. In order to gain access to the room, you must first register with the Faculty’s IT Office (tel. (6)15031 or email to itsupport@history.ox.ac.uk).