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Applied Statistics in Management

Course Outline For MS-Management Science/MS-Project Management Goals 1. 2. 3. 4. 5. Prerequisites Probability and Statistics Or Statistics and Data Analysis; Microeconomics 1 Or Principles of Microeconomics; Macroeconomics 1 Or Principles of Macroeconomics Text Book Wooldridge, Jeffrey M. 2006. Introductory Econometrics. 3rd edition. Thomson South-western. Reference 1. Hamilton, Lawrence C. 2006. Statistics with Stata. Thomson Brooks/Cole. 2. Kennedy, Peter. 2008. A Guide to Econometrics. 6th edition. Malden: Blackwell Publishing. 3. Angrist, Joshua D., and Jorn-Steffen Pischke. 2008. Mostly Harmless Econometrics: An Empiricists Companion. Princeton University Press. 4. Levitt, Steven D., and Stephen J. Dubner. 2009. Freakonomics: A Rogue Economist Explores the Hidden Side of Everything. Harper Perennial. On successful completion students will: be able to develop a suitable econometric model for a variety of economically interesting problems and validate the selected model via a battery of tests. be able to compare different estimators based on their finite sample and asymptotic properties be proficient in the use of statistical software SPSS develop a basic understanding of time series econometrics be able to manipulate and analyze data sets and construct their own econometric investigations and tests of economic hypothesis using SPSS.

Quizzes: There will be seven in-class quizzes and one lab quiz. The in-class quizzes will take place every other week while the lab quiz will take place in the last lab. Project: The objective of the project is to provide you an opportunity to apply the skills you learn in class to a real world application. For many of you these skills would help you in more advanced empirical courses and in your senior projects. The project would require you to pick a data set from a given collection and construct a meaningful paper based on it. Marks would be given on the basis of an intelligent use of data, proper interpretation of results and on following the prescribed guidelines. Like the labs, the project would be group-based and we may conduct project-based vivas from any of the group members. A project proposal would be due in the 10th week of the semester and the write-up will need to be submitted at the end. Note: Disciplinary Action will be taken against students who are found to have committed, or have attempted to commit, acts of academic misconduct. Detailed Course Outline Sr. No. 1 Topic Introduction What is econometrics? Steps in empirical economic analysis Causality and Marginal effects The structure of economic data Simple Regression Model Deriving the OLS estimates Units of measurement and functional form Multiple Regression: Estimation Mechanics and Interpretation of OLS Classical Linear Model Assumptions The Gauss-Markov Theorem Properties of OLS Unbiasedness & Efficiency. Multiple Regression: Inference Sampling Distribution of the OLS estimators The t-test testing a single restriction Confidence Intervals Testing multiple restrictions Multiple Regression Analysis: OLS Asymptotics Consistency Asymptotic Normality and Large Sample Inference Asymptotic Efficiency of OLS Functional Form and Dummy Variables Dummy independent variables Readings Ch1. 1.1, 1.2, 1.4 Weeks 1

Ch.2.1, 2.2, 2.4

Ch. 3

2-3

Ch. 4

3-4

Ch. 5

Ch. 7

5-6

Using dummy variables for multiple categories Interactions using dummy variables Dummy dependent variable 5 Topics in OLS Effects of Data Scaling: 6.1 Functional Form: 6.2 Goodness-of-Fit and Model Selection: 6.3 Prediction and Residual Analysis: 6.4 Functional form mis-specification: 9.1 Missing Data, Outliers: 9.4 Heteroskedasticity Consequences of Heteroskedasticity Robust inference Testing for heteroskedasticity Weighted Least Squares Instrumental Variable Estimation and 2SLS Correlation between X and error; Omitted variable bias (3.3); OLS under measurement error (9.3); Using Proxy Variables for Unobserved Explanatory Variables (9.2); IV estimation and the 2SLS; Testing for endogeniety and over-identifying restrictions; Regression with Time Series Data Nature of time series data; Examples of TS models; Finite sample properties of OLS under GaussMarkov assumptions; Functional form, dummy variables, index numbers; Trends and seasonality; Panel Data Models Pooling independent cross-sections across time; twoperiod panel data; differencing with more than two time periods: fixed-effects estimation; randomeffects models; grouped data; policy analysis (difference-in-difference and panel estimation) Limited Dependent Variable Models and Sample Selection Logit and Probit models for binary response; [Depending on time: the Tobit model for cornersolution responses; Censored and Truncated regression;] Sample selection corrections Simultaneous Equation Models The nature of simultaneous equation models; simultaneity bias in OLS; Identifying and estimating a structural equation (vs. reduced form); systems with more than two equations Ch. 6.1, 6.2, 6.3, 6.4, 9.1, 9.4 6-7

Ch. 8

Ch 3.3, 9.2, 9.3, 15.1-15.5; Mostly Harmless Econometrics (AP) Ch. 4 Ch. 10

8-9

10

Ch 13.1-13.5; 14.1-14.3

11-12

10

Ch 17.1-17.5 (excl. 17.3)

13-14 (3 sessions)

11

Ch 16.1-16.3

14 -16