Course Syllabus

Econometrics Applied: Making Data Talk

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Semester & Location:

Spring 2020 - DIS Copenhagen

Type & Credits:

Elective Course - 3 credits

Major Disciplines:

Economics

Faculty Members:

Mr. Holger Sandte (HS)

Program Director:

Susanne Goul Hovmand - sgh@dis.dk

Program Coordinator: Alex Berlin - ab@dis.dk
Program Assistant:
Marissa Buffo - mbu@dis.dk
Time & Place:

Monday and Thursday, 13:15 - 14:45 | 10A-31 Computer Lab or F24-302

 

Description of Course

Data is the raw material of the information age, the new gold, as some say. Knowing how to handle and analyze data and to draw the right conclusions is a key qualification not only in a business environment, but for a wide range of professions. This qualification can only grow in importance.

This course is an introduction to a specific kind of data analysis - the science and art of building and using basic econometric models. 

Applied econometrics is when theory meets data from the real world in order to answer a research question. It is the application of quantitative methods to explain the relationship (strength and direction) between variables or to forecast future trends. The techniques can be applied to a wide range of questions in economics and beyond, for example: 

  • What is driving sales of a good – the price or the marketing expenses?
  • What determines wages - Education? Experience? Attractiveness?
  • Do smaller classes improve learning?
  • Does democracy increase economic growth?
  • Does higher education reduce crime rates?
  • On financial markets, econometric models can be used to forecast stock prices

The beauty of econometrics lies in the chance to base the answers to this type of questions on theory and empirical methods instead of gut feeling, prejudice or anecdotal evidence. 

The purpose of this course is to give students insight and experience in how to apply basic econometric methods to relevant topics. The course consists of lectures and a large number of smaller and larger exercises both in class and at home. The lectures will lay the necessary theoretical groundwork. Some of the practical exercises can be done in Excel, others with the Econometrics software STATA . 

The first step will be to develop a feeling for data and data problems. Much of the course will be about regressions, i.e. explaining – in a statistical sense – a dependent variable by one or several independent variables, based on economic (or other) theory. While it is quite easy nowadays to make a computer print an econometric output, interpreting the results carefully is vital for good econometric practice. 

The students will learn to build regression models, to interpret the results carefully, to judge the quality of the model and also what to do when the assumptions behind the model are not fulfilled. They will also learn about causality tests and the basics of times series analysis and forecasting. To do this some statistical theory is necessary as a foundation for econometrics. 

Learning Objectives

By the end of the course, the students should ...

  • have a sense for the power and limitations of the econometric methods studied
  • be capable the use MS-Excel’s statistical and regression functions 
  • be capable to work with the principles of the linear regression model
  • be capable to use an econometrics software to build their own regression models
  • be capable to draw the defendable conclusions from large amounts of data 
  • be capable to do basic time series analysis
  • have proven the capability to develop an econometric research project
  • have learned to remain humble even when the model looks perfect
  • have significantly increased their knowledge about Europe/Scandinavia as a by-product of having worked on European/Scandinavian questions and data
  • have increased their cross-culture skills 
  • have increased their collaborative skills.

Faculty

Holger Sandte studied Economics and languages in Germany and France. MSc (Economics, University of Hanover) 1993, PhD 1998 (Dr. rer. pol, University of Trier) with a thesis on whether moderate inflation harms economic growth (answer: mostly not, but it depends). Econometric methods like regressions and VAR-models made up a large part of the empirical section of the thesis.  Later on, during his many years as a bank economist, Holger used such methods as well as time series analysis to explain and forecast  interest rates and exchange rates. Then he switched sides, dealing with government debt and financial market regulation at the Danish Ministry of Finance for a while. Holger moved to Denmark with his family in 2013 and has been with DIS since 2019. He firmly believes that 

  • ... finding answers to relevant real-world questions by combing  theory with empirical work is a truly satisfying experience for students and ... 
  • ... that students  acquire important skills if they learn how to handle data competently. 

Readings

We will not use one single textbook, but input from various sources. In the Canvas Calendar, you will find reading instructions for the individual classes. 
 
Agresti, A., Finlay, B. (1997), Statistical Methods for the Social Sciences 
Angrist, J., Pischke, J.-S. (2015) Mastering Metrics  Mastering_Metrics_Angrist.pdf
Kahneman, D. (2012), Thinking, Fast and Slow
Pindyck, R.S., Rubinfeld, D.L. (1991), Econometric Models and Economic Forecasts 
Watson, P.K., S. Teelucksingh (2002), A Practical Introduction to Econometric Methods: Classical and Modern 
Dougherty, C. (2016), Introduction to Econometrics, 5th edition. 
Carrière-Swallow, Y., Haksar, V. (2019),  The Economics and Implications of Data. An Integrated Perspective, IMF Departmental Paper No. 19/16
Louis, W., Chapman, C. (2017), The seven deadly sins of statistical misinterpretation, and how to avoid them https://theconversation.com/the-seven-deadly-sins-of-statistical-misinterpretation-and-how-to-avoid-them-74306 (Links to an external site.)  
STATA User Guide
 
Apart from reading, we will also use online material an videos. 
 
Field Studies ...

... will bring the students in contact with experienced users of econometric tools e.g. in think tanks or  consulting firms. 

Guest Lecturers ...

... will be invited to widen the students' perspective.

Approach to Teaching

Learning econometrics is like learning how to drive car.  First you need to learn some vocabulary (some of which sounds more daunting than it really is), and to acquire some theoretical knowledge. Otherwise the risk of accidents is really high.  On this foundation it's all about praticing, first on easy roads and then in more and more difficult terrain. As a car driver, you get better over time. More miles/kilometers mean more experience also in unexpected situations and higher skills.  Practice makes perfect, as the saying goes. 

In the course, we will jump back and forth between theory and practice (with Excel and the Econometrics software STATA. Classes will happen as mix of lectures and  exercises of varying complexity, do be done alone or in small groups, eihter in the Computer Lab or in a normal classroom. 

Note that making and analyzing mistakes/imperfections is a necessary part of the process to improve your skills.  

Expectations of the Students

Prerequisites: One course each in macro- and microeconomics at university level.

The students should be quite familiar with Excel and have basic knowledge in statistics – and no allergy to equations, Greek letters and working a lot with data. Prior knowledge of an econometric software would be helpful but is not required. Active engagement and willingness to learn how to handle data are important.

 Evaluation

Engagement/participation in class: 20%
Your participation grade will be determined by 3 factors: attendance, preparedness for class, and active engagement in class including field studies. You are required to attend all classes. If you miss a class, you must contact an instructor as soon as possible (before the class starts) and provide an explanation. The assigned readings for each lecture should be read prior to the class.  

Various quizzes and exercises: 50%
Several quizzes are meant to evaluate your progress during the course. The quizzes refer to the assigned readings and to what we did in class. The anwers have to be submitted  electronically via Canvas. 

Econometric research project: 30% 
In your research project towards the end of the semester, you will apply econometric tools to a research question of our choice. The research project can be done alone or in small groups.  

 

Academic Regulations  

Please make sure to read the Academic RegulationsLinks to an external site. on the DIS website. There you will find regulations on:

 

DIS - Study Abroad in Scandinavia - www.DISabroad.orgLinks to an external site.

Course Summary:

Date Details Due