School of Social Sciences, University of Texas at Dallas

Spring 2006

POEC 5316 Advanced Regression Analysis for Social Sciences

Class Meetings: Wednesday 4-6:45 at GR 3.606

Instructor: Wenhua Di (wenhua.di@utdallas.edu, 972-883-4961)
Office Hours: Monday 2-4 (GR3.308)
Teaching Assistant: Hong Chao (hxc045100@utdallas.edu, 972-883-4914)
Office Hours: Friday 10-12 (GR 2.816)

Description: Intended as the second in the core POEC statistics sequence, this course focuses
on developing the theoretical basis and practical application of the most common tools of
empirical analysis. We will cover the assumptions, derivation of OLS estimator, hypothesis
testing, functional forms in the first part of the course; we will then move to extend the basic
model by dealing with assumption failures, introducing basics of discrete choice model, panel
analysis and time series in the second part of the course. Examples and assignments will be
provided to help understand the concepts.

Prerequisites: This course is primarily designed for graduate students, and presumes
knowledge of statistics and probability at the level of POEC 5313, in addition to college algebra.
Students do not need to have taken calculus courses as prerequisite for this class; however,
students are required to learn basic multivariate calculus and matrix algebra through this class to
understand the materials. Substantial time commitment outside classroom may be necessary to
pass this class.

Readings:

Primary text:

Introductory Econometrics: A Modern Approach, third edition by Jeffrey Wooldridge, which can
be purchased from The University Book Store & Off Campus Books. This text provides nice
intuition and examples, but since it does not use matrix algebra, I will supplement it with lecture
notes.

Optional reference books:

A Guide to Econometrics, fifth edition by Peter Kennedy, which assumes knowledge of matrix
algebra.

Basic Econometrics, fourth edition by Damodar N. Gujarati.

Copies of these books will be put on reserve at McDermott Library. We will also use some
journal articles to provide applied examples of the techniques learned in class, or in the problem
sets. These articles will be placed on WebCT.

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It is highly suggested to read the textbook before coming to the lectures.

Assignments: The course will have four problem sets in addition to a Stata intro assignment, an
in-class midterm, and a final research paper. All problem sets will involve some data analysis;
students are expected to learn Stata as part of this course. Students are encouraged to work in
small groups (2-3 people), but each student must write up his/her answers separately. Data for
assignments will be available on line in Stata format. Stata may be purchased with a discount
price as a UTD graduate student, but is also available in the computer lab. Problem sets are due
two weeks after it is distributed or as specified, and returned within a week. Late assignments
will not be graded. The midterm will be close-book, but you are allowed to bring one piece of
“cheat sheet”, where you may write down things that you find hard to memorize. The midterm
exam will be on March 1. In addition, students are expected to complete a short research paper
(10 pages at most) using econometric methods for this course. The research paper can be in any
fields. Students will have chance to present their papers on the last day of class, April 19. The
paper will also be due that day.

Grading: The final grade will be based on:

Problem sets 50%

Midterm exam 30%
Research paper 20%

Tentative Course Outline:

Lecture 1 (1/11/05):
Introduction to Econometrics, Review of Probability and Statistics
• Wooldridge, Chapters 1.
• Wooldridge Appendix A1-4, B, C.
Problem set 0 distributed in class.

Lecture 2 (1/18/05):
Review of Differential Calculus, Bivariate Regression, Stata Introduction
• Wooldridge, Chapters 2.
• Wooldridge, Appendix A5.
Problem set 0 due.

Lecture 3 (1/25/05):
Multivariate Regression in Matrix Notation; Properties and Distribution of OLS Estimator
• Wooldridge, Chapter 3.
• Wooldridge Appendix D, E.
Problem set I distributed in class.

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Lecture 4 (2/1/05):
Inference, Hypothesis Testing, Goodness of Fit
• Wooldridge, Chapter 4, Chapter 5, Chapter 6.3.

Lecture 5 (2/8/05):
Functional Form
• Wooldridge, Chapter 6, Chapter 9.
Problem set I due, and Problem set II distributed in class.

Lecture 6 (2/15/05):
Dummy Variables and Interactions
• Wooldridge, Chapter 7.

Lecture 7 (2/22/05)
Multicollinearity, Stability of Parameters; Specification and Data Problems; Review
• Wooldridge, Chapter 3.4, Chapter 9.
Problem set II due in class.

In-class Midterm Exam (3/1/05)

*Spring break*

Lecture 8 (3/15/05):
Heteroskedasticity
• Wooldridge, Chapter 8.
Problem set III distributed in class.

Lecture 9 (3/22/05):
Serial Correlation, Generalized Least Squares Method
• Wooldridge 12

Lecture 10 (3/29/05):
Omitted Variables and Instrumental Variables Estimation
• Wooldridge, Chapters 15.
• Angrist, Joshua, and Alan Krueger, “Does Compulsory School Attendance Affect Schooling
and Earnings?” Quarterly Journal of Economics, November 1991.
• Levitt, Steven D. Using Electoral Cycles in Police Hiring to Estimate the Effect of Police on
Crime. American Economic Review. Vol. 87 (3). p 270-90. June 1997.
Problem set III due and Problem set IV distributed in class.

Lecture 11 (4/5/05):
Causality and Experimental Methods; Program Evaluation; Panel Data
• Wooldridge, Chapter 13, 14.

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• Meyer, Bruce D. Natural and Quasi-experiments in Economics. Journal of Business &
Economic Statistics. Vol. 13 (2). p 151-61. April 1995.
• Ravallion, Martin (2001). “The Mystery of the Vanishing Benefits: An Introduction to
Program Evaluation,” World Bank Economic Review, 15(1), p. 115-40.
• Card, David and Alan B. Krueger, “Employer Responses to the Minimum Wage: Evidence
from the Fast-Food Industry,” in Myth and Measurement, Princeton University Press, 1995.

Lecture 12 (4/12/05):
Limited Dependent Variable Models
• Wooldridge, Chapter 17.
Problem set IV due in class.

Lecture 13 (4/19/05):
Review and student presentations (in alphabetical order)
Research paper due in class.