ECONS54322A (HAM)
Applied Econometrics
15 Points
Staff
Convenor(s)
Diem Vo
MSB.2.01
diemthihong.vo@waikato.ac.nz

Frank Scrimgeour
4415
MSB.2.03
frank.scrimgeour@waikato.ac.nz

Lecturer(s)
Diem Vo
MSB.2.01
diemthihong.vo@waikato.ac.nz

Administrator(s)
Librarian(s)
You can contact staff by:
 Calling +64 7 838 4466 select option 1, then enter the extension.

Extensions starting with 4, 5, 9 or 3 can also be direct dialled:
 For extensions starting with 4: dial +64 7 838 extension.
 For extensions starting with 5: dial +64 7 858 extension.
 For extensions starting with 9: dial +64 7 837 extension.
 For extensions starting with 3: dial +64 7 2620 + the last 3 digits of the extension e.g. 3123 = +64 7 262 0123.
Paper Description
This paper teaches basic skills in econometrics, which is the statistical analysis of economic data. Topics include but are not limited to, simple and multiple regression analysis, statistical inference, maximum likelihood estimation, generalized method of moments, limited dependent variables, time series analysis, and various technical problems that arise when applying econometric techniques to realworld data such as heteroskedasticity, multicollinearity, and endogeneity. The emphasis of the course will be on both theory and empirical applications. Throughout the Trimester, students will learn how to (i) develop a regression model, (ii) estimate it, and (iii) interpret it. General topics that we will cover include OLS regression, prediction, dummy variables, model specification, model selection, hypothesis testing, robust standard errors, endogeneity, qualitative choice models (logit and probit), Maximum Likelihood, Generalized Method of Moments, regression analysis with timeseries data, and simulations. Students will gain experience estimating statistical models using programming language STATA and learn how to run Monte Carlo simulations to investigate the properties of estimators.
Paper Structure
This paper is taught through lectures and workshops in the laboratory. Both lectures and workshops will be recorded and uploaded on Moodle after the end of each session. Students will learn the background theory in lectures. In the workhops, students will be given a set of exercises to complete using STATA.
Students are expected to do the assigned readings before coming to class. Weekly workshops in the lab emphasize empirical applications using the statistical software package STATA. Students should be prepared to spend a considerable amount of time, outside of class time, to familiarise themselves with STATA coding.
Learning Outcomes
Students who successfully complete the paper should be able to:
Assessment
The course is 100% internally assessed. The assessment gives students a chance to demonstrate their competence in applied econometrics.
Assessment Components
The internal assessment/exam ratio (as stated in the University Calendar) is 100:0. There is no final exam.
Required and Recommended Readings
Required Readings
There is no set text. Several books are recommended (and are held on course reserve in the library)
Highly recommended Jeffrey M. Wooldridge. 2019. Introductory Econometrics: A Modern Approach (7th Edition),
(Link of the book here: https://nz.cengage.com/c/isbn/9781337558860/).
Recommended Readings
James H. Stock and Mark W. Watson, 2011. Introduction to Econometrics
Jeffrey M. Wooldridge. 2015. Introductory Econometrics: A Modern Approach
Marno Verbeek. 2012. Guide to Modern Econometrics
Josh Angrist and JS Pischke. 2015. Mastering 'metrics: The Path from Cause to Effect
Other Resources
In order for to you appreciate the ongoing development of econometric methods, and the debates over their various uses, it will be important to become familiar with some resources on the web (noting also that Stata is a webaware software that can use the internet to facilitate collaboration and for the dissemination of results and of new estimation routines and other advances in the software).
Amongst the blogs that are worth sampling are:
Development Impact Blog
http://blogs.worldbank.org/impactevaluations/
Econometrics Beat:
http://davegiles.blogspot.co.nz/
A very useful resource for finding applied papers that use econometric methods is:
Research Papers in Economics
Resources on the internet for helping to learn Stata and for finding new estimation routines and other helpful additions to the core software are:
UCLA Resources to help you learn and use Stata
https://www.stata.com/links/resourcesforlearningstata/
Boston College Statistical Software Components
Online Support
Workload
Linkages to Other Papers
Prerequisite(s)
Prerequisite papers: ECON204 or ECONS205 or equivalent and at least 30 points at 300 level or above in Economics and/or Finance, or if a student has gained A or better in both ECONS205 or ECON204 and ECONS202 or ECON302
Restriction(s)
Restricted papers: ECON304, ECON404, ECON543