Economics is the study of choice under scarcity; Statistics is the language of science. Econometrics is a child of Economics and Statistics. This course introduces statistical and regression analysis for economics and finance. It covers probability and statistics theory for linear regressions, descriptive data analysis, and regression models and applications (specification, estimation, inference, and forecast). Students will learn how to combine economics and statistics to perform econometric study. Throughout the course, students are required to solve computer-aid assignments, conduct a research project, and complete two exams. Extra credit will be available for students participating in a special topic debate or an individual project or teaching assistantship.
This course places applied econometrics in the context of Machine Learning, challenges students to develop a "right" way of doing econometrics, and examines the limitations of applied econometrics.
As a coordinated course, the required text is Stock and Watson, Introduction to Econometrics, Package for Baruch College, 3rd Custom Edition, ISBN 13: 978-1-269-90829-0 ©2014 • Pearson. Another highly recommended textbook is Hill, Griffiths, and Lim, Principles of Econometrics, 5th Edition, ISBN 13: 978-1-118-45227-1 ©2018 • Wiley.
Objectives
Understand the fundamental concepts and distribution models in probability and statistics
Master OLS linear regression theory: its assumptions, models, estimation, hypothesis testing, and inference
Interpret regression results, perform robustness check, detect and correct violations of regression assumptions
Develop basic computer skills in data and regression analysis (Excel, Python, or R)
Apply economic theory to direct quantitative research and complete a project
It is important for students to provide feedback in time throughout the course to ensure positive learning and teaching experience. If students have trouble keeping up with the class material or the workload, please feel free to contact the instructor. It is the instructor's responsibility to support students to make progress and succeed in the course. Students are encouraged to 1) raise questions and participate in the lecture; 2) provide feedback and suggestions regarding teaching and course organization; 3) solve the problem sets and conduct research together; 4) improve the learning and teaching process. Special accommodations will be given to students with disabilities.
Last day to withdraw with a "W" grade from courses. April 16, 2018.
Student Tutoring Center at Baruch College
Evaluation
Students will earn official letter grades calculated from the percentage basis, based on the following components:
1) Computer-Aided Assignments (20%)
2) Research Project and Presentation (20%)
3) Midterm and Final Exam (each 30%)
4) Attendance and Participation (+ or -)
Computer-Aided Assignments. Problem sets will be assigned roughly every week on the MyEconLab (see a separate sheet on how to register). Deadlines are firm; do not wait until the last minute to submit the assignment. Students may submit each problem set up to two times and the highest grade will be counted.
Research Projects. Student will conduct a supervised project on portfolio theory and applications. The project requires real time data collection and cleaning, stock portfolio construction, CAPM and SML model estimation and test. The final product should be a well-organized report.
Midterm and Final Exam. Exams will not be rescheduled because of travel arrangements. In the case of a valid/documented emergency on the scheduled exam date, a make-up exam will be given, or the weight of the missed midterm will be shifted to the final exam (must provide the proof within 48 hours of the exam). Any cheating during exams will result in a failure of the course and the matter being reported to the dean.
Attendance and Participation (+ or -). Full attendance will receive a final grade enhancement whereas being absent (two times) or late (four times) will negatively affect your final grade, except for illnesses and emergencies. Please ensure an effective learning environment for the whole class by refraining from texting, surfing on the web, and using your cell phone. Inappropriate classroom behavior will result in the student being withdrawn from the classes without official grades.
Academic Integrity Policy
Copying assignments from a fellow classmate is considered cheating and will be dealt with severely. Any cheating during the exams will result in your failing the course and the matter being reported to your dean. The complete text of the Academic Integrity Policy: Academic dishonesty is unacceptable and will not be tolerated. Cheating, forgery, plagiarism and collusion in dishonest acts undermine the college’s educational mission and the students’ personal and intellectual growth. Baruch students are expected to bear individual responsibility for their work, to learn the rules and definitions that underlie the practice of academic integrity, and to uphold its ideals. Ignorance of the rules is not an acceptable excuse for disobeying them. Any student who attempts to compromise or devalue the academic process will be sanctioned.
Last day to withdraw with a "W" grade from courses. April 16, 2018.