Econometrics I

Econometrics (Graduate Level)

  • Tuesdays, 14:40-16:10
  • Prerequisite: Statistics (undergraduate) and Econometrics (undergraduate)
  • Lecture notes will be distributed (available below)
  • Reference: Greene, Econometric Analysis (Prentice Hall) and Hamilton, Time Series Analysis (Princeton University Press)

TA Session (by Mr. Yonekura and Mr. Miura)

  • Mondays, 13:00-14:30 (from April 20)
  • Room #509
  • Content: Basic Statistics, Matrix Algebra, and etc.
  • Materials will be available at TA Website (Participants should print out on their own)

Evaluation

  • Final exam (60%) and two assignments (40%)

Lecture Note

  1. 04/14/2015 (pp.1-9) 統計検定
    • Reference: Greene, Appendix B, Probability and Distribution Theory
  2. 04/21/2015 (pp.10-15)
    • Reference: Greene, Appendix D, Large-Sample Distribution Theory
  3. 04/28/2015 (pp.16-20)
    • Reference: Greene, Appendix A, Matrix Algebra
  4. 05/12/2015 (pp.21-24)
    • Reference: Greene, Chapter 2, 3.1-3.2, 4.1-4.6 (except Gauss-Markov Theorem)
    • Exercise: Greene, Exercises 3.3, 4.4, 4.5, 4.7a,b
  5. 05/19/2015 (pp.25-30)
    • Reference: Greene, Chapter 4.4 (Gauss-Markov Theorem), 4.7, 5.1-5.3.1
  6. 05/26/2015 (pp.31-36)
    • Reference: Greene, Chapter 3.5, 5.1-5.3, 6.1-6.2, 6.4
    • Exercise: Greene, Exercises 5.1
  7. 06/02/2015 (pp.37-44) Assignment 1 (Due 06/16/2015)
    • OLS example files: cons99.csv ols_example.do
    • Reference: Greene, Chapter 5.3.2-5.3.3
  8. 06/09/2015 (pp.45-48)
    • Reference: Greene, Chapter 8.1, 8.2.1, 8.3.1
    • Exercise: Greene, Exercises 8.1, 8.2, 8.6
  9. 06/16/2015 (pp.49-54) Theil-Goldberger Model
    • Reference: Greene, Chapter 16.1-16.4.5
    • Exercise: Greene, Exercises 16.2, 16.3
  10. 06/23/2015 (pp.55-60) [Slide] Solution to Assignment 1 (corrected) Assignment 2 (Due 07/07/2015)
    • Reference: Greene, Chapter 16.9-16.9.2 (except testing)
    • Exercise: Greene, Exercises 16.8, 16.10
  11. 06/30/2015 (pp.61-69) [Slide]
    • Reference: Greene, Chapter 4.9, 16.4, Appendix D
    • Exercise: Greene, Exercises 4.13
  12. 07/07/2015 (pp.70-76) [Slide]
    • Reference: Greene, Chapter 12.1-12.3, 12.5-12.6
    • Exercise: Greene, Exercises 12.1, 12.2
  13. 07/14/2015 (pp.77-82) [Slide] Solution to Assignment 2
    • Reefrence: Greene, Chapter 16.6
    • Exercise: Greene, Exercises 16.10
  14. 07/21/2015 (pp.83-90) [Slide]
    • Application file: mle_test_example.do
    • Useful results (will be distributed in the final exam)
  15. 07/28/2015 Final Exam (closed book)

*Reference and Exercise are based on 6th edition of Greene.

All lecture notes (pp.1-90 updated on 07/21/2015)

Results of Final Exam

  • Mean: 77; Median: 82