SYLLABUS 				          Dr. Kutan
EC/FIN 515	            EMPIRICAL RESEARCH METHODS IN ECONOMICS AND FINANCE       Fall 2003	

Office: AH 3141
Phone:  650-3473
Office Hours: M and W: 2 pm-3 pm and by appointment
E-mail: akutan@siue.edu 

Prerequisite: EC/FIN 415, Econometrics I, or Instructor’s consent

Course Description and Objectives:

	This course is designed for those who plan to use advanced econometrics techniques, either professionally or in doctoral programs. The emphasis on three estimations techniques: (1) System estimation; (2) Discrete Limited Dependent Variables; and (3) Pooled Cross Sectional (Panel) Data. These methods will be applied to real-world cases in economics, finance, and general business.  There will be few format proofs in the course. The emphasis will be on motivating a technique through a real particular economic problem.  Main objective of the course is to draw out important practical insights and grasp an intuitive understanding of econometric tools and methods.

Course Requirements:

	There will be one mid-term exam during the semester.  The final exam will be comprehensive.  Homework questions will be assigned to allow students to practice with real world and policy questions.

	Each student individually will write a paper in this course and present it at the end of the semester.  The paper will apply the techniques learned in the course to an empirical problem in economics and finance.  The paper should describe the problem, the data used, full details of the estimated models and diagnostic test statistics, tests of any hypotheses and a final section describing the interpretation of the results.  The details of the paper and presentation will be discussed later in class.

Software:

 “Eviews” (Econometric Views). It is installed in the School’s computer labs.	
	
Grade:

Your grade will be determined by the following:

		Midterm			20 %		
		Final				30 %		
		Homework			20 %		
		Research paper			20 %		
		Paper presentation		10 %		

Text:

The main textbook in this course is Gujarati’s Basic Econometrics, 4th edition. In addition, students are encouraged to make use of several other textbooks as listed below:  

	Baltagi, Badi H., Econometric Analysis of Panel Data, John Wiley and Sons, 1995.

Campbell, John Y., Lo, Andrew W., and MacKinlay, Craig A., The Econometrics of Financial Markets, 1997, Princeton University Press.
	
Gourieroux, Christian and Jasiak, Joann., Financial Econometrics, 2001, Princeton University Press.      

Maddala, G.S., Limited Dependent and Qualitative Variables in Econometrics, 1983, Cambridge University Press.

	Greene, William H., Econometric Analysis, 2000, 4th edition, Prentice Hall.

	Please note that you are responsible for any material distributed, assigned or discussed in class.

Tentative Course Outline and Reading Assignments:  

I. 	Introduction and Preliminaries

	Assigned readings:
	 Pages 887-912 and 114-18 (Gujarati).
	 Chapters 3 and 4 (Greene)

II.	Econometric Modeling: Model Specification and Diagnostic Testing

	Assigned readings:
	 Chapter 13 (Gujarati)

III.	Dummy Variables Regression Models
	
	Assigned readings:
	 Chapter 9 (Gujarati) and pages 316-25 (Greene).
	
IV.	Discrete Limited Dependent Variables

	Assigned readings:
	 Chapter 15 (Gujarati); Chapter 19 (Greene)
	 Chapters 2 and 11 (Maddala)

V.	 Pooled Cross Sectional (Panel) Data

	Assigned readings:
	 Chapter 16 (Gujarati) and Chapter 14 (Greene)

VI.	System Estimations
	
	Assigned readings:
	Chapter 18 (Gujarati) and Chapter 15 (Greene)

KEY DATES:

MIDTERM EXAM: October 21
FINAL EXAM:  December 16 (8:30-10:10 pm)
PRESENTATIONS:  December 2 and 9.
RESEARCH PAPERS DUE:  December 16.