Economics 1123 Introduction To Econometrics: Syllabus: Course Description

Department of Economics Fall 2018
Harvard University
Economics 1123
Introduction to Econometrics: Syllabus
Professor: Prof. James Stock, Department of Economics
Office: Littauer Center M27
Office hours: TBA
Teaching Fellows: James Reisinger reisinger@g.harvard.edu (head TF)
Justin Bloesch jbloesch@g.harvard.edu
Lauren Shani Russell lsrussell@g.harvard.edu
Dayea Oh ohd@g.harvard.edu
Kevin Carney carney@g.harvard.edu
Assistant: Clare Dingwell (dingwell@fas.harvard.edu)
Class time and room: M, W 9-10:15, Sever 113
COURSE DESCRIPTION
Economics 1123 introduces students to multiple regression and related methods for analyzing data in
economics and associated disciplines. Topics include: multiple regression, regression with discrete
random variables, instrumental variables regression, analysis of random experiments and quasi-
experiments, large and nonstandard (e.g. textual) data sets, and regression with time series data.
Students will learn how to conduct and critique empirical studies. The course emphasizes empirical
applications; the mathematical theory of econometrics will be introduced only as needed and will not be
a central focus. Students seeking a treatment of econometric theory with a higher level of mathematics
should take Economics 1126. Prerequisite: Statistics 104 or equivalent.
TEXTBOOK, READINGS, AND CLASS LECTURE OVERHEADS

The textbook is J.H. Stock and M.W. Watson, Introduction to Econometrics (third edition update),
Addison-Wesley, 2015. (Note: earlier editions and all international editions printed in English are
acceptable). Two optional books are J.M. Wooldridge, Introductory Econometrics, South-Western
College Publishing and J. Angrist and S. Pischke, Mostly Harmless Econometrics. Wooldridge covers the
same material with a somewhat more mathematical treatment. Angrist and Pischke provided good
intuition for the methods used for causal inference.
PROBLEM SETS
There will be weekly computer-based problem sets. The course statistical software is STATA, which is
available for download from FAS IT. Problem sets and data will be posted on the course Web page.
Please hand in your homework assignments at the beginning of class the day they are due. Assignments
handed in after this, but before answers are posted will be marked down by 50%. Answers will be
posted on the course Web site immediately after the class following the day that the assignments are
due (e.g. due Monday, post Wednesday). Assignments handed in after that will receive no credit.
Students are encouraged to work in groups on their problem sets, but each student must write up his or
her answers separately. The maximum group size is 3. Please list the name(s) of those with whom you
worked on your assignment. Please append your STATA “log” files to your assignments.
Economics 1123, Fall 2018 2
GRADING
Problem Sets: 30%; Midterm Exam: 25%; Final Exam: 45%. In computing your total problem set grade,
the lowest grade out of problem sets 1-7, 9 and 10 will be dropped; the grade on problem set 8 cannot
be dropped and counts double. For both exams, you will be permitted to bring in a single (two-sided)
8½x11 sheet of notes and a calculator; no textbooks, computers, cell phones, etc. The spring and fall
semesters of this course are graded using the same curve.
CLASS SCHEDULE
Class Readings: Problem Sets:

no. Date Topic SW Ch. # Posted Due
A. Linear regression: mechanics
1 5-Sep Wed Review of probability & statistics 2, 3
2 10-Sep Mon Bivariate regression & multiple regression I 4, 5 PS#1
3 12-Sep Wed Multiple regression II 6, 7
4 17-Sep Mon Nonlinear models I 8 PS#2 PS#1
5 19-Sep Wed Nonlinear models II 8
6 24-Sep Mon Nonlinear models III 8 PS#3 PS#2
B. Estimation of causal effects
7 26-Sep Wed Internal and external validity 9
8 1-Oct Mon Binary dependent variables I 11 PS#4 PS#3
9 3-Oct Wed Binary dependent variables II 11
8-Oct Mon No class – Columbus Day
10 10-Oct Wed Panel data I 10 PS#5 PS#4
11 15-Oct Mon Panel data II 10
12 17-Oct Wed Instrumental variables regression I 12 PS#5
13 22-Oct Mon Instrumental variables regression II 12
24-Oct Wed Midterm Exam (coverage through Lect. 11)
14 29-Oct Mon Instrumental variables regression III 12 PS#6
15 31-Oct Wed Instrumental variables regression IV 12
16 5-Nov Mon Program Evaluation I 13 PS#7 PS#6
17 7-Nov Wed Program Evaluation II 13
18 12-Nov Mon Program Evaluation III 13 PS#8 PS#7
C. Prediction
19 14-Nov Wed Big data
20 19-Nov Mon Big data PS#8
21-Nov Wed No class – Thanksgiving
21 26-Nov Mon Forecasting I 14 PS#9
22 28-Nov Wed Forecasting II 14
23 3-Dec Mon Dynamic causal effects I 15 PS#10 PS#9
24 5-Dec Wed Dynamic causal effects II 15
10-Dec Mon No class – reading period PS#10
Last revised August 30, 2018

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Department of Economics Fall 2018

TEXTBOOK, READINGS, AND CLASS LECTURE OVERHEADS

Class Readings: Problem Sets:

Last revised August 30, 2018

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