ECON 351* -- Introductory Econometrics

Section B -- Winter Term 2000

Course Outline and Readings -- Winter Term 2000

Required Readings

The required textbook for the course is the third edition of Gujarati's introductory text: Damodar N. Gujarati, Basic Econometrics, 3rd Edition. New York: McGraw-Hill, 1995. ISBN 0-07-025214-9.

All assigned readings in Gujarati (1995) are required; they constitute the bare minimum of reading that students should do if they hope to achieve the basic objectives of the course. Copies of this textbook may be purchased in the Campus Bookstore.

A set of notes has been prepared by the instructor to supplement the required textbook: Michael G. Abbott, Notes for Economics 351* -- Introductory Econometrics, 1999-2000, 1999.

These notes cover some, but by no means all, of the topics included in the course. Copies of the notes can be purchased from the AMS Publishing and Copy Centre located on the lower (first) floor of the John Deutsch University Centre.


Recommended Supplementary Readings

There are five additional introductory econometrics textbooks that are recommended for supplementary reading:

Christopher Dougherty, Introduction to Econometrics. New York: Oxford University Press, 1992. ISBN 0-19-504346-4.

R. Carter Hill, William E. Griffiths, and George G. Judge, Undergraduate Econometrics. New York: John Wiley & Sons, 1997. ISBN 0-471-13993-9.

Jan Kmenta, Elements of Econometrics, 2nd Edition. New York: Macmillan, 1986. ISBN 0-02-365070-2.

Aaron C. Johnson, Jr., Marvin B. Johnson and Rueben C. Buse, Econometrics: Basic and Applied. New York: Macmillan, 1987. ISBN 0-02-360920-6.

Ramu Ramanathan, Introductory Econometrics With Applications. New York: Harcourt Brace Jovanovich, 1989. ISBN 0-15-546485-X.

Copies of these books are available in the Stauffer Library Reserve Room.


COURSE OUTLINE AND READINGS

NOTE: Required readings on each topic are highlighted in bold; e.g., Gujarati (1995). Optional readings are underlined; e.g., Dougherty (1992).

 

PART I. THE SIMPLE (TWO-VARIABLE) LINEAR REGRESSION MODEL


Section 1: Basic Concepts of Regression Analysis

Gujarati (1995): Introduction, pp. 1-12; Chapter 1, pp. 13-27; Chapter 2, pp. 32-45.
HGJ (1997): Chapter 3, Sec. 3.1, pp. 43-46.
Kmenta (1986): Chapter 7, Secs. 7.1-7.2, pp. 203-211.
Ramanathan (1989): Chapter 1, pp. 3-13.


Section 2: Specification -- Assumptions of the Simple Regression Model

NOTE 1: Specification -- Assumptions of the Simple Classical Linear Regression Model (CLRM).
Gujarati (1995): Chapter 3, Sec. 3.2, pp. 59-69.
Dougherty (1992): Chapter 2, Sec. 2.1, pp. 53-56; Chapter 3, Sec. 3.3, pp. 80-83.
HGJ (1997): Chapter 3, Sec. 3.2, pp. 46-51.
Kmenta (1986): Chapter 7, Secs. 7.1-7.2, pp. 203-211.
JJB (1987): Chapter 3, pp. 41-46.
Ramanathan (1989): Chapter 3, Secs. 3.1, pp. 81-87.


Section 3: Estimation -- The Method of Ordinary Least Squares (OLS)

NOTE 2: Ordinary Least Squares (OLS) Estimation of the Simple CLRM.
NOTE 3: Desirable Statistical Properties of Estimators.
NOTE 4: Statistical Properties of the OLS Coefficient Estimators.
NOTE 5: Computational Properties and Goodness-of-Fit of the OLS Sample Regression Equation.
Gujarati (1995): Chapter 3, Sec. 3.1, pp. 52-59 and Secs. 3.3-3.10, pp. 69-87; Appendix 3A, pp. 94-99.
Dougherty (1992): Chapter 2, Secs. 2.2-2.7, pp. 56-73; Chapter 3, Secs. 3.1-3.2, pp. 74-80, and Secs. 3.4-3.6, pp. 83-90.
HGJ (1997): Chapter 3, Secs. 3.3-3.4, pp. 51-61; Chapter 4, Secs. 4.1-4.6, pp. 66-81.
Kmenta (1986): Chapter 7, Sec. 7.3, pp. 211-224.
JJB (1987): Chapter 1, pp. 8-14; Chapter 3, pp. 46-56.
Ramanathan (1989): Chapter 3, Secs. 3.2-3.4, pp. 87-100, and Secs. 3.6-3.8, pp. 104-110.


Section 4: The Normality Assumption

NOTE 6: The Fundamentals of Statistical Inference in the Simple Linear Regression Model.
Gujarati (1995): Chapter 4, Secs. 4.1-4.3, pp. 101-110.


Section 5: Inference -- Interval Estimation and Hypothesis Testing

NOTE 7: Interval Estimation in the Classical Normal Linear Regression Model.
NOTE 8: Hypothesis Testing in the Classical Normal Linear Regression Model.
NOTE 9: Analysis of Variance in the Simple Linear Regression Model.
Gujarati (1995): Chapter 5, Secs. 5.1-5.9, pp. 115-136, and Secs. 5.11-5.13, pp. 140-145.
Dougherty (1992): Chapter 3, Secs. 3.7-3.11, pp. 90-114.
HGJ (1997): Chapter 5, Secs. 5.1-5.2, pp. 87-104.
Kmenta (1986): Chapter 7, Sec. 7.4, pp. 224-254.
JJB (1987): Chapter 3, pp. 56-66; Chapter 6, pp. 101-113.
Ramanathan (1989): Chapter 3, Sec. 3.5, pp. 100-104, and Sec. 3.9, pp. 110-111.


Section 6: Prediction in the Linear Regression Model

NOTE 10: Conditional Prediction in the Simple (Two-Variable) Linear Regression Model.
Gujarati (1995): Chapter 5, Sec. 5.10, pp. 137-139.
Dougherty (1992): Chapter 10, Sec. 10.8, pp. 306-311.
HGJ (1997): Chapter 4, Sec. 4.7, pp. 81-83; Chapter 5, Sec. 5.3, pp. 104-107.
JJB (1987): Chapter 18, pp. 380-385.
Ramanathan (1989): Chapter 3, Sec. 3.10, pp. 111-112.


Section 7: Functional Form in the Variables

Gujarati (1995): Chapter 6, Secs. 6.2-6.7, pp. 161-178, Sec. 6.9, pp. 179-180.
Dougherty (1992): Chapter 4, Secs. 4.1-4.3, pp. 117-129.
HGJ (1997): Chapter 6, Sec. 6.3, pp. 119-125.
JJB (1987): Chapter 11, pp. 231-255.
Ramanathan (1989): Chapter 3, Sec. 3.12, pp. 115-120.

 

PART II. THE MULTIPLE LINEAR REGRESSION MODEL


Section 8: Specification -- The Classical Linear Regression Model (CLRM)

NOTE 11: The Multiple Classical Linear Regression Model (CLRM): Specification and Assumptions.
Gujarati (1995): Chapter 7, Secs. 7.1-7.3, pp. 191-197.
HGJ (1997): Chapter 7, Sec. 7.1, pp. 131-137.
Kmenta (1986): Chapter 10, Sec. 10.1, pp. 392-395.
JJB (1987): Chapter 4, pp. 70-76.


Section 9: Estimation -- Ordinary Least Squares (OLS)

NOTE 12: OLS Estimators of the Multiple (Three-Variable) Linear Regression Model.
Gujarati (1995): Chapter 7, Sec. 7.4, pp. 197-201; Appendix 7A, pp. 231-235.
Dougherty (1992): Chapter 5, Secs. 5.1-5.4, pp. 136-157.
HGJ (1997): Chapter 7, Secs. 7.2-7.3, pp. 137-145.
Kmenta (1986): Chapter 10, Sec. 10.1, pp. 395-402.
JJB (1987): Chapter 3, Sec. 3.1, pp. 80-83.
Ramanathan (1989): Chapter 4, Sec. 4.1, pp. 156-160.


Section 10: Goodness-of-Fit

NOTE 13: Goodness-of-Fit in the Multiple Linear Regression Model.
Gujarati (1995): Chapter 7, Secs. 7.5-7.6, pp. 201-204, Secs. 7.8-7.10, pp. 207-217.
Dougherty (1992): Chapter 5, Sec. 5.6, pp. 161-166.
HGJ (1997): Chapter 8, Sec. 8.3, pp. 154-157.
Kmenta (1986): Chapter 10, Sec. 10.2, pp. 410-412.
JJB (1987): Chapter 5, pp. 86-98.
Ramanathan (1989): Chapter 4, Sec. 4.3, pp. 162-165.


Section 11: Inference -- Interval Estimation and Hypothesis Testing

NOTE 14: Tests of Exclusion Restrictions on Regression Coefficients: Formulation and Interpretation.
NOTE 15: F-Tests of Linear Coefficient Restrictions: A General Approach.
NOTE 16: F-Tests of Exclusion Restrictions on Regression Coefficients: Numerical Examples
Gujarati (1995): Chapter 8, Secs. 8.1-8.5, pp. 238-254.
Dougherty (1992): Chapter 5, Sec. 5.6, pp. 161-166; Chapter 6, Sec. 6.5, pp. 188-194.
HGJ (1997): Chapter 7, Sec. 7.4, pp. 145-146; Chapter 8, Secs. 8.1-8.2, pp. 150-154 and Secs. 8.4-8.6, pp. 157-168.
Kmenta (1986): Chapter 10, Sec. 10.2, pp. 403-409, 412-422.
JJB (1987): Chapter 6, pp. 113-124.
Ramanathan (1989): Chapter 4, Sec. 4.5, pp. 167-174.

 

PART III. SOME USES OF LINEAR REGRESSION ANALYSIS


Section 12: Linear Coefficient Restrictions

NOTE 15: F-Tests of Linear Coefficient Restrictions: A General Approach.
NOTE 18: Tests of Single Linear Coefficient Restrictions: t-tests and F-tests.
Gujarati (1995): Chapter 8, Secs. 8.6-8.8, pp. 254-265.
Dougherty (1992): Chapter 6, Sec. 6.5, pp. 188-194.
HGJ (1997): Chapter 8, Sec. 8.7, pp. 168-171.
Kmenta (1986): Chapter 11, Sec. 11.2, pp. 476-485.
JJB (1987): Chapter 6, pp. 124-132.
Ramanathan (1989): Chapter 4, Sec. 4.5, pp. 174-178.


Section 13: More on Functional Form in the Variables

NOTE 17: Functional Form in the Variables: Common Specifications.
Gujarati (1995): Chapter 7, Sec. 7.11, pp. 217-221.
Dougherty (1992): Chapter 5, Sec. 5.3, pp. 143-148.
Ramanathan (1989): Chapter 4, Sec. 4.6, pp. 179-181.


Section 14: Dummy Variable Regressors and Covariance Analysis

NOTE 19: Using Dummy Variables to Test for Coefficient Differences.
NOTE 20: Tests for Coefficient Differences: Numerical Examples.
Gujarati (1995): Chapter 15, Secs. 15.1-15.10, pp. 499-519.
Dougherty (1992): Chapter 9, Secs. 9.1-9.5, pp. 260-282.
HGJ (1997): Chapter 9, Secs. 9.1-9.6, pp. 179-193.
Kmenta (1986): Chapter 11, Sec. 11.1, pp. 461-473.
JJB (1987): Chapter 9, pp. 182-201.
Ramanathan (1989): Chapter 6, pp. 245-281.

 

PART IV. PROBLEMS IN REGRESSION ANALYSIS


Section 15: Multicollinearity

Gujarati (1995): Chapter 10, pp. 319-346.
Dougherty (1992): Chapter 5, Sec. 5.5, pp. 157-161.
HGJ (1997): Chapter 8, Sec. 8.8, pp. 171-174.
Kmenta (1986): Chapter 10, Sec. 10.3, pp. 430-442.
JJB (1987): Chapter 12, pp. 263-275.
Ramanathan (1989): Chapter 5, pp. 226-239.


Section 16: Specification Errors -- The Selection of Regressors

Gujarati (1995): Chapter 7, Sec. 7.7, pp. 204-207; Chapter 13, Secs. 13.1-13.4, pp. 452-467.
Dougherty (1992): Chapter 6, Secs. 6.1-6.3, pp. 167-182.
Kmenta (1986): Chapter 10, Sec. 10.4, pp. 442-450.
JJB (1987): Chapter 13, pp. 278-288.
Ramanathan (1989): Chapter 4, Sec. 4.7, pp. 185-191; Chapter 7, Secs. 7.1-7.2, pp. 295-302.


Section 17: Heteroskedasticity -- Nonconstant Error Variances

NOTE 21: Linear Regression Models With Heteroskedastic Errors.
Gujarati (1995): Chapter 11, pp. 355-390.
Dougherty (1992): Chapter 7, Secs. 7.1-7.4, pp. 200-216.
HGJ (1997): Chapter 10, pp. 213-232.
Kmenta (1986): Chapter 8, Sec. 8.2, pp. 269-298.
JJB (1987): Chapter 14, pp. 292-307.
Ramanathan (1989): Chapter 11, pp. 449-470.


Section 18: Autocorrelation -- Nonzero Error Covariances

NOTE 22: Linear Regression Models With Autoregressive Errors.
Gujarati (1995): Chapter 12, Secs. 12.1-12.7, pp. 400-436.
Dougherty (1992): Chapter 7, Secs. 7.5-7.9, pp. 216-232.
HGJ (1997): Chapter 11, pp. 237-256.
Kmenta (1986): Chapter 8, Sec. 8.3, pp. 298-334.
JJB (1987): Chapter 14, pp. 307-319.
Ramanathan (1989): Chapter 8, Secs. 8.1-8.4, pp. 329-345.

Last updated on January 4, 2000.

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