ECONOMICS DEPARTMENT

COURSE SYLLABUS 3rd Term AY 2017-2018

College: School of Economics

Department: Economics
Course Code: Introduction to Econometrics (ECONMET)
Pre-requisite: Economic Statistics (ECOSTAT)
Co-requisite Laboratory for Econometrics (LBYEMET)
Class Days and Time: TH 0730-0900 (V24)
Room: LS216
Instructor: Dr. Marites Tiongco/Mr. Jesson Pagaduan

COURSE DESCRIPTION:

This course introduces undergraduate economics majors to the rudiments of econometric model building with
emphasis on the theoretical underpinnings and the use of the Classical Linear Regression Model. It involves
discussion of research methods, the specification of economic models and building of econometric models,
measurement and collection of data, estimation of model parameters, testing of relevant hypotheses, treating
problems of model specification and estimation, and analysis, interpretation and presentation of econometric
results.

The purpose of this course is to prepare the students to use regression analysis given a well-defined economic
problem. Emphasis will be placed on their ability to understand when to adopt a particular model or technique,
how to implement it, and how to interpret the results.

School of Economics Expected Learning Outcomes (LOs):

Lasallian Graduate Attributes
(ELGAs)
Intellectual Inquisitiveness
Technical Proficiency
Agent of Positive Social Change
On the completion of the course, the student is expected to be able to
exhibit the following skills/traits
A working knowledge of the econometric model-building process;
capability to appropriately apply the Classical Linear Regression
model to empirical investigations in Economics and other fields; and
firm understanding of the critical assumptions underlying the use of
the techniques and tools of econometrics, and knowledge of the
various diagnostics and remedial measures on detected violations of
these assumptions – such skills/traits are essential in undertaking
empirical research in Economics; or in understanding basic models
used in the literature.
 Learning Outcome
Working knowledge of the
econometric model-building process;
capability to appropriately apply the
Classical Linear Regression model to
empirical investigations in
Economics and other fields; and a
firm understanding of the critical
assumptions underlying the use of the
techniques and tools of econometrics,
and knowledge of the various
diagnostics and remedial measures on
detected violations of these
assumptions
Required Output
Empirical research project
highlighting the application of the
relevant aspects of the classical linear
regression addressing a real-world
problem phenomenon using actual
data coming from a survey or
secondary data culled from data bases
available in the internet. This project
is to be accomplished individually by
each student with supplied learning
materials and proper guidance from
the professor.
Due Date
Final report is due for online
submission on or before the final
examination day. The following
will have to be submitted as email
attachments to
cesar.rufino@dlsu.edu.ph :
PDF and MWord files of final
report
Stata Do and Log files (in case
Stata is used)
Excel/Stata/Gretl data file.

RUBRIC FOR ASSESSMENT

Rubric for the Written Empirical Project

Learning Excellent Very Satisfactory Needs Guidelines

Outcome/Criteri (90-100) Satisfactory (60-79) Improvement For the
a (80-89) (0-59) Project
Problem Lucidly identifies Clearly identifies Rudimentary Does not clearly
Identification and the main main problem, problem identify the
formulation of the problem, states states the identification. problem. Identifies
model for its the objectives objectives, crafts Identifies main an inappropriate
solution. and expertly an appropriate problem but problem and builds
crafts an econometric omits relevant an unsatisfactory
econometric model geared for issues. Builds econometric
model geared for its empirical moderately model.
its empirical solution and plausible
solution. Clearly present relevant econometric
expounds the policy model that may See: Chap 19
policy implications of solve the of Wooldridge
importance of the study. problem. 5th Ed. (2013)
solving the pp. 676-702
problem
Application of Clearly explains Applies Applies the Applies the
appropriate the rationale for completely correct inappropriate
estimation and the use of the appropriate procedures but procedures.
inference technique and procedures, misses some
technique(s). expertly apply software and steps
the technique data. See: Using
using proper data Gretl for
and software. Principles of
Interpretation of Correctly Correctly Correctly No answer or Econometrics,
the results interprets all interprets all interprets some wrong answer 4th Ed. (2011)
inference results inference results. inference results. based upon an pp. 11-15
incorporating inappropriate plan
excellent insights
that are beyond
rudimentary
analysis.
Analysis and Presents Formulates Identifies some Fails to draw See:
Evaluation appropriate conclusions. And conclusions. Sees conclusions. Sees Introductory
conclusions and points out some some real world no arguments. Econometrics
expertly appropriate uses relevance of the Overlooks for Finance
communicate the of the empirical results but misses differences. 3rd Ed. (2014)
policy results. on some Repeats data. Chapter 14.
implications of important issues. Omits research.
the empirical
results..
Presentation Argues succinctly Argues clearly. Misconstructs Omits argument.
and clearly. Identifies issues. arguments. Misrepresents
Discusses issues Attributes Generalizes issues. Excludes
thoroughly. sources. Suggests issues. Cites data. Draws faulty
Exemplifies solutions. sources. Presents conclusions. Cites
intellectual Incorporates few options. sources.
honesty. Justifies information. Overlooks some
decisions. information.
Assimilates
information.

OTHER REQUIREMENTS:

1. Home reading of the relevant sections of supplied eBooks and journal articles as out-of-the-classroom
learning experience, as well as data base creation using Eikon/Datastream (Fourth Hour). Students are
expected to review assigned readings before they are discussed in class to ensure students’ participation in
the discussion.
2. Class attendance and active participation in class discussions. Attendance is checked every meeting via a
seat plan. One absence is equivalent to 1 percentage point deduction from final grade, tardiness is 0.5
percentage point deduction. Attendance will be checked using a seat plan (with 1x1 colored pictures of the
students).
3. Written examinations – Midterms and Finals.

GRADING SYSTEM:
Class Participation (board work) and Attendance 15% 96 and above 4.0
Empirical Project 25% 90 to < 96 3.5
Problem Sets 15% 84 to < 90 3.0
Midterm Exam 20% 78 to < 84 2.5
Final Exam (Comprehensive) 25% 72 to < 78 2.0
Total 100% 66 to < 72 1.5
60 to < 66 1.0
Below 60 0.0

Passing Mark 60%

LEARNING PLAN:

Week No. Learning Activities

Learning Outcome Topic(s)

Appreciation of the role of Definition, scope and goals of 1 Lecture

Econometrics in economic Econometrics; types of empirical Discussion
research and analysis; and an data and the Econometric model
appreciation of the role of
statistical inference in the
knowledge discovery process.
Appreciation of the role of
Econometrics in economic
research and analysis; and an
appreciation of the role of
statistical inference in the
knowledge discovery process
Mastering the rudiments of the Simple Regression Technique
basic form of the Classical
Linear Regression model for
application to real-world
problems.
Midterm Examination
Mastering the rudiments of the
general form of the Classical
Linear Regression model for
application to real-world
problems.
building process
Mathematical and statistical 2 Lecture
preliminaries Recitation
 joint/marginal probability Discussion
distributions
 sampling distributions
 mathematical
expectations
 properties of the most
desirable estimators
 matrix algebra
3 to 5 Lecture,
 The 2-variable Linear Model Recitation
 The OLS method Discussion
 Statistical Inference with Software demonstration
Simple Linear model and empirical exercises
 Simple Correlation Analysis
 Prediction with simple linear
model
 Alternative functional forms
 Applications
6 Long exam
Multiple Regression Analysis 7 to 11 Lecture,
(Classical Linear Regression Recitation
Model) Discussion
 k-variable linear model Software demonstration
and the OLS method and empirical exercises
 Assumptions underlying
the use of OLS method
 Problem of Inference –
the t, Chi-square and F tests
 Analysis of Variance
 The use of dummy
variables as regressors
 Wald tests (restricted
least squares)
 Testing for structural
stability of models
 Applications
Complete understanding of the
critical assumptions underlying
the use of the main technique
used in econometrics, and the
knowledge of the various
diagnostics and remedial
measures on detected
violations of these assumptions
Relaxing the assumptions of 12 to 13 Lecture,
CLRM: Recitation
The nature, consequences, Discussion
diagnostic testing and corrective Software demonstration
measures of: and empirical exercises
 Multicollinearity
 Autocorrelation
 Heteroscedasticity
 Model Mis-specification
 Omitted Variable Bias
 Irrelevant Variable Bias
 Wrong Functional Form
 Measurement Errors

Final Examination (Comprehensive) 14 Long Exam

Students are expected to attend classes, take well-organized notes and make a serious commitment to academic
excellence. Completing the corresponding assignments in the textbook and solving a variety of problems are
essential to understanding the material and performing satisfactorily in examinations. Cellular phones must be
turned off during class periods. Each student is required to have a scientific calculator with the required
statistical functions. Cell phones can not be used as a calculator during an exam. Get the professor's
permission in getting out of the room when lecture is going on. Cheating/plagiarism is strictly prohibited and
will result in a failing grade for the course, or more serious sanctions. Plagiarism will be checked.

REFERENCES:

Basic Econometrics, 5h Edition (2009)

By D. Gujarati & D. Porter, McGraw-Hill (required)

Introductory Econometrics for Finance 3rd Ed. (2014)

By Chris Brooks, Cambridge University Press

Introduction to Econometrics – A Modern Approach 5th Edition (2013)

By J. M. Wooldridge, Thomson-Southwestern

Principles of Econometrics, 4th Ed. (2011)

By Hill, Griffths and Lim, John Wiley & Sons

Using Gretl for Principles of Econometrics, 4th Ed. (2014)

By Lee Adkins, Oklahoma State University

Introduction to Econometrics, 3rd Edition (2011)

By Stock and Watson, Addison-Wesley

SOFTWARES: Gretl 2018b, Eviews 9.5SV and STATA 15

Statistics App: Probability Distributions by Matthew Bognar, from the App Store
Reading List

Term 3, AY2017-18 Economics Department Faculty Research Findings - Econometrics

(ECONMET)

Dacuycuy, L. (2005). On distribution approximation: a simple comparative study on procedural variations of the zheng test.
Economics Bulletin 3 (11): 1-10.

Dacuycuy, L. (2006). On the finite sampling properties of the Zheng test for omitted and irrelevant variable problems. Applied
Economics Letters 13 (11): 681-684.

Dacuycuy, L. (2006). The effect of bandwidth changes on model validity: an empirical study. Applied Economics Letters 13 (10): 629-
633.

Dacuycuy, L. (2007). On wage density comparisons: bandwidth selectors and test outcomes. Applied Economics Letters 14: 203-208.

Dacuycuy, L. (2009). Testing for omitted variables in partially linear regression models. The Philippine Review of Economics 46 (2):
47-62.

Dacuycuy, L. (2012). Parametric and Semiparametric model representations of the conditional mean of wages: do they make a
difference against nonparametric ones? Applied Economics 44 (13).

Dacuycuy, L.(2014). A semiparametric analysis of female labor force participation in the Philippines: models, test methodologies and
inference. Manuscript.

Dacuycuy, L., & Dacuycuy, C. (2014). Decompositions behaving badly: interesting lessons from simulations. Manuscript.

Rufino, C. (2003). A Comprehensive Cost Analysis of Degree Programs for Selected Higher Educational Institutions. DLSU-Angelo
King Institute Working Paper Series No. 12, June 2003
Rufino, C. (2006). Determinants of Korea’s Inbound Tourism to the Philippines –The Update on ASEAN and Korean Studies: 2005,
ASEAN University Network-Korean Association for South East Asia Studies (AUN-KASEAS), pp. 197-263

Rufino, C. (2006). Estimating the Degree Cost Functions of the Philippines Public and Private Higher Educational Institutions (Asia-
Pacific Education Review, July 2006 Vol. 7 No. 1: pp. 32-40).

Rufino, C. (2007). An Appropriate RMU Arrangement for Surveillance in the ASEAN+3 Region– ASEAN Secretariat Publication,
Jakarta, Indonesia 2007

Rufino, C. (2008). Lagged Effect on Sales of TV Advertising of an Intermittently Advertised Product (DLSU Business and Economics Review
ISSN-0116-7111, July 2008 Vol. 18 No.1: pp 1-12

Rufino, C. (2008). The Steady State Relationship and the Spread Between Treasury Rates and Commercial Lending Rates DLSU-Angelo
King Institute Working Paper Series 2008-02 (March 2008)

Rufino, C. (2010). Forecasting Philippine Monthly Inflation Using TRAMO/SEATS (DLSU Business and Economics Review ISSN-
0116-7111, July 2010 Vol. 20 No.1: pp 1- 13

Rufino, C. (2011). Analyzing the Philippines Inter-Regional Market Integration for Rice (International Research Journal of Finance and
Economics ISSN-1450-2887, Issue 69 (June 2011) pp. 108-127

Rufino, C. (2011). Forecasting the International Demand for Philippine Tourism (DLSU Business and Economics Review ISSN-0116-7111 ,
July 2011 Vol. 21 No. 1 pp. 61-76)

Rufino, C.& E. De Guia (2011). Empirical Comparison of Extreme Value Theory vis-à-vis other Methods of VaR Estimation using
ASEAN+3 Exchange Rates (DLSU Business & Economics Review ISSN-0116-7111, Jan 2011 Vol . 20 No.2: pp. 9-22)

Rufino, C. (2012). Signal Extraction from the Components of the Philippine National Accounts Statistics Using ARIMA Model-Based
Methodology(DLSU Business and Economics Review ISSN-0116-7111, Jan 2012 Vol. 21 No. 2 pp. 1-16)

Rufino, C. (2013). Korean Inward Tourism to the Philippines: A Macroeconometric Evaluation”, Proceedings of the 2013 DLSU Research
Congress March 7-9, 2013 LCCS-II-011 pp.53

Rufino, C. (2013). Random Walks in the different sectoral submarkets of the Philippine stock exchange amid modernization”
Philippine Review of Economics ISSN 1655-1516 Vol. XLX No. 1, June 2013 pp. 57-82.

Rufino C. (2013). Consumption Pattern of Metro Manila Poor Households – A Microeconometric Evaluation (DLSU Business and Economics
Review ISSN-0116-7111 ,Jul 2013 Vol. 23 No. 1 pp. 10-24)

Rufino, C. (2014). Martingales in ASEAN+3 Currencies(DLSU Business and Economics Review ISSN-0116-7111 , Jan 2014 Vol. 23 No. 2
pp. 65-79)
Rufino, C. (2014). ASEAN+3 Currencies: Determining Long-run Linkages (Proceedings of the 3rd ICADA 2014 ISBN: 978-974-231-
850-5, Oct. 9-11, 2014 Bangkok, Thailand: pp. 391-412)

Rufino, C. (2015). Joint Estimation of Filipino Child's Schooling and Work Choices (DLSU Business and Economics Review ISSN-
0116-7111 , July 2015 Vol.25 No. 1 pp.119-142)

Rufino, C. (2016). Microeconometric Analysis of Eating-out Behavior of Modern Filipino Households: The Tobit, the Craggit and the Heckit
Models (DLSU Business and Economics Review ISSN-0116-7111 , Jul 2016 Vol. 26 No. 1, pp. 50-69)

Rufino, C. & Delfino, N. (2016). Day-of-the-week effects in the Philippine Stock Exchange: Do they exist amid modernization? (DLSU
Business and Economics Review ISSN-0116-7111 , Jan 2016 Vol. 25 No. 2 pp. 41-52)

Rufino, C. (2018). ASEAN+3 Currencies: Long-run Linkages (DLSU Business and Economics Review ISSN-0116-7111 , Jan 2018
Vol.27 No. 2 pp.1-16)

Unite, A. (2002). The Effect of Capital Market Liberalization Measures on the Integration of the Philippine Stock Market with
International Markets: Evidence from Johansen’s Multivariate Cointegration Procedure, DLSU Business & Economics Review, Vol. 13
No. 2, pages 95-146, De La Salle University Press, 2001-2002 (published in 2002).

Unite, A. (2008). The Relationship between Stock Return Volatility and Trading Volume: The Case of the Philippines (with Manabu
Asai, Soka University, Japan), Applied Financial Economics, Vol. 18 Issue 16, pages 606-623, London: Routledge, September 2008.

Unite, A. (2010). General Asymmetric Stochastic Volatility Models Using Range Data: Estimation and Empirical Evidence from
Emerging Equity Markets (with Manabu Asai, Soka University, Japan), Applied Financial Economics, Vol. 20 Issue 13, pages 1041-
1049, London: Routledge, June 2010.

Noted by:

__________________________ _______________________
Dr. Arlene Inocencio Dr. Marites Tiongco
Chair, Department of Economics Dean, School of Economics