Professional Career Programme (PCP) Syllabus for ... - Keio University

Faculty of Economics, Keio UniversityMA., 2003・Quantitative Micro Software, EViews 5 User’s Guide, Quantitative Micro Software,Irvine, CA., 2004・Quantitative Micro Software, EViews 5 Command and Programming Reference,Quantitative Micro Software, Irvine, CA., 2004・Wooldridge, J.M., Introductory Econometrics: A Modern Approach, South-WesternCollege Publishing, USA., 2000Course Plan:Lecture Outline:1. What is Econometrics? What Does Econometric Model Building Involve?2. Review of Important Economic and Statistical Concepts (Marginal Effects,Elasticity, Expectations, Variance, etc)3. Ordinary Least Squares (OLS) for the Simple Linear Regression Model4. The Statistical Properties of OLS for the Simple Linear Regression Model(including the Gauss-Markov Theorem)5. Simple Hypothesis Testing Using the Student t-test6. Using EViews 5 to Produce Descriptive Statistics, Graphs and Simple RegressionResults7. OLS for the Multiple Linear Regression Model8. The Statistical Properties of OLS for the Multiple Linear Regression Model9. Testing Hypotheses Relating to Several Parameters Using an F-test10. Dummy Variables and Testing for Structural Change11. Using EViews5 to Produce Multiple Linear Regression Results and to ConductHypothesis Testing12. The Impact of Model Misspecification and Multicollinearity13. Model EvaluationGeneral comments about the course and prerequisites:In order to understand the material in this course, it is extremely desirable that studentshave some previous knowledge of linear algebra, differentiation (including partialdifferentiation), and probability. Instruction in the use of the econometrics softwarepackage, EViews 5, will be given as part of this course. This course will strictly avoidthe use of matrix algebra.One of the purposes of econometrics is to test hypothesis suggested by other areas ofeconomics, for example, microeconomics and macroeconomics. As a result,econometrics should not be considered in isolation, but as a complement to othersubjects taught in the Faculty of Economics and the PCP program.PCP Syllabus 24