Selected Courses Taught by Ken Simons

Courses recently taught at Rensselaer:
ECON-4120 Quantitative Analysis / ECON-6920 Advanced Quantitative Analysis (fall) (preparation materials)
ECON-6550 Advanced Microeconomic Analysis (fall)
ECON-4140 Structure of Industry (fall) (project resources)
ECON-4570 Econometrics (Undergraduate) (spring)
ECON-6570 Advanced Econometrics (Graduate) (spring)

Selected courses taught in past at Royal Holloway, University of London.
Below are a few archived materials in case anyone needs them:
EC2212 Industrial Growth and Competition (spring 2003) - a detailed resource about industry competition & technology
EC5020 MSc Industrial Economics (spring 2003)
EC3400 Dissertation materials (autumn 2001)

Other information about Ken Simons and his research is on his main web page.

ECON-4570 Econometrics (Undergraduate) - Spring 2007

This course introduces you to how to analyze statistical data to explore how our world works, advise on policy, or test theories.  The class time will be about half traditional lecture and half hands-on experience analyzing data.  You will use a state-of-the-art econometrics package, Stata, to carry out analyses in the lab.  The emphasis is on methods and application, so the level of mathematics is substantially less than in the graduate econometrics course.

The required textbook is: James H. Stock and Mark W. Watson, Introduction to Econometrics, 2nd ed., published by Addison Wesley, 2007.  If you buy this book new, you will be able to access learning materials on the web.  Also recommended, but not absolutely required, is the following book that shows you how to use Stata: Lawrence C. Hamilton, Statistics with Stata (Updated for Version 9), published by Brooks/Cole, 2006.  Stata will be available for use in the lab.  If you want you can buy a license for your own computer (ask me for the course id to type in) - either a one year license for $89 or a perpetual license for $145, a substantial discount from the usual education price.

The official prerequisites to this course are MATH-2010 or equivalent (multivariable calculus and matrix algebra) and ECON-2010 or equivalent (managerial economics), but the level of calculus and matrix algebra will not be too much and you could get by without the managerial economics background as long as you don't mind looking up any economics concepts that might confuse you during the course.

Topics are listed below with roughly one week each.  We may leave out item 14.

1. Introduction
2. Review of (or introduction to) probability
3. Review of (or introduction to) statistics
4. Linear regression with one regressor
5. Linear regression with multiple regressors
6. Nonlinear regression functions
7. Assessing studies based on multiple regression
8. Regression with panel data
9. Regression with a binary dependent variable
10. Instrumental variables regression
11. Experiments and quasi-experiments
12. Introduction to time-series regression and forecasting
13. Estimation of dynamic causal effects
14. Additional topics in time series regression

There will be weekly problem sets and, I expect at this writing, two exams.

ECON-6570  Advanced Econometrics (Graduate) - Spring 2010

This course, like the undergraduate course listed above, introduces you to how to analyze statistical data to explore how our world works, advise on policy, or test theories.  However, the emphasis is on understanding the mathematics that underlies econometric theory.  You will also use Stata to apply the methods of the course to actual data.

The required textbook is: Fumio Hayashi, Econometrics (Princeton University Press, 2000); this publisher's webpage includes chapter 1. Errata and partial solutions to assignments are available from the author.  Also recommended, but not absolutely required, is the following book that shows you how to use Stata: Christopher F. Baum, An Introduction to Modern Econometrics using Stata (Stata Press, 2006).  Stata will be available for use in a computer lab.  If you want you can buy a license for your own computer (ask me for the course id to type in) - either a one year license for $98 or a perpetual license for $179, a substantial discount from the usual educational price.

The main challenge students have upon starting this course is the matrix algebra.  It looks really scary until you get used to it.  I will try to help you get to grips with the mathematics, but to get a head start it will help if you review matrix algebra, perhaps using a standard mathematics for economics textbook such as Alpha C. Chiang's Fundamental Methods of Mathematical Economics or Carl P. Simon and Lawrence Blume's Mathematics for Economists.  Also use the practice exercises I have prepared for you.  Review of derivatives and of optimization methods in these books would also be useful; again I have practice exercises.  Don't give up too easily because of the matrix algebra -- it takes practice but you will get used to it.

During the course, you may find it useful to consult an undergraduate text (I recommend the text by Stock and Watson, listed earlier on this page) or another graduate text.

We will probably cover the following topics:
0. Introduction and crash coverage of matrix algebra, probability, and statistics
1. Ordinary least squares (OLS) regression - finite-sample properties
2. OLS regression - large-sample (asymptotic) properties
3. Single-equation generalized method of moments
4. Multiple-equation generalized method of moments
5. Panel data (with material on instrumentation beyond what is in the book)
6. (Serial correlation briefly treated)
7. Extremum estimators
8. Examples of maximum likelihood


This course involves lengthy assignments plus exams.  Econometrics courses have a reputation for taking all of your time.  I will try to keep the load more manageable than in some graduate programs, but it will still probably be like taking two courses at once.

An additional web page describes how to prepare for the course.

EC2212 Industrial Growth and Competition

Course Notes and Slides

Extensive course notes for spring 2003, including syllabus and details on each part of the course, are available as a pdf file (153 pages, 800KB).  A project guide is available as a separate pdf file (47 pages, 336KB).

Slides from lectures can be accessed as pdf files for individual lectures.  A combined file with 4 slides per page is available for the autumn 2001 version.

Help on Projects

The following two former EC2212 students have kindly agreed to give advice and feedback about projects.  Please contact them by email:
James Lambert  J.H.Lambert@rhul.ac.uk  - editing advice, or any questions
Clara Manzillo  C.A.Manzillo@rhul.ac.uk  - survival analysis, or any questions

Information Sources for Projects

Online data and information sources useful for student projects include:

A. General sources:

B. Current lists of producers and information about firms:
  • KellySearch - directory of UK manufacturers of most products
  • Thomas Register - directory of US manufacturers of most products
  • Kompass - directory of companies in 70 countries
  • Hoovers - company information
    • C. Patent data and information: D. Information for specific products:
  • British Cement Association - includes links to a few cement-related statistics
  • GameFaqs - one of several databases for the video games industry, see also KLOV and Gamebuyer
  • LaserFocusWorld - current lists of companies by product
  • VNU IT directories - software and computer-related companies, note the Software Users Year Book
  • MotorBooks bookstore in London - for automobiles, motorcycles, trucks, railroads, and shipbuilding (near Leicester Square)
  • Shipbuilding - from Peter Thompson; see also his Liberty Ship Pages
    • E. General economics data sources of possible relevance: F. Examples of past student projects (pdf files).  Reproduced with permission.  Data appendices have been omitted:

    EC5020 MSc Industrial Economics

    Course materials were distributed in class.

    For statistical analysis, we used Stata.  A powerful and free statistical program is R.

    For dynamic modeling using differential equations, one excellent free program is Vensim PLE (Personal Learning Edition) - click on Download then Free Downloads.  The program has documentation on the internet.  A tutorial for Vensim PLE has been developed by Craig W. Kirkwood and is available on his web page.
     

    EC3400 Dissertations [from 2001-2]

    Slides are available from two of the general lectures given to all dissertation students:


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    Revised 19 January 2010