Economics 521: Econometrics

Optional Texts

• Greene, William. Econometric Analysis, 3rd Edition.

• Class notes.

Syllabus

• Background Material Review

  • Statistics (Chapters 3-4)

  • Matrix algebra (Chapter 2)

• Review of Asymptotics (Chapter 4.4)

  • Homework 1

• Linear Regression

  • Single Variable (Chapter 6)

  • Multiple Regression (Chapter 6, 7, 9)

  • Homework 2

  • Testing (Chapter 7)

  • Homework 3

• Generalized Least Squares

  • Examples of Heteraskedasticity (Chapters 12, 13)

  • GLS (Chapters 11.3.1, 12.4, 13.6)

  • Feasible GLS (Chapters 11.4, 12.3, 12.5, 13.5, 13.7)

  • Gauss-Markov Theorem

  • Homework 4

• Simultaneous Equations

  • Review of Kronecker Products

  • Introduction (Chapters 16.1, 16.2)

  • Identification (Chapter 16.3)

  • Estimation (Chapter 16.4-16.7)

  • Testing (Chapter 16.8)

  • Homework 5

• Method of Moments Estimation and Maximum Likelihood Estimation

  • MLE (Chapter 11.3.2)

  • MOM (Chapter 11.5 - 11.6)

  • Relationship

  • Testing

  • Homework 6

• Simulation (read "Simulation-Based Estimation" )

  • Basics

  • Simulating expected values

  • Estimation with Simulation

  • Homework 7

Class Requirements

• Homework (1 per section) 10%

• Project 25%

• Midterm 15%

• Final 50%

Previous Midterms, Finals, and Qualifying Exams

• Example 1 (Midterm)

• Example 2 (Midterm)

• Example 3 (Midterm)

• Example 4 (Final)

• Example 5 (Qualifying Exam)

• Example 6 (Final)

• Example 7 (Qualifying Exam)

• Example 8 (Qualifying Exam)

• Example 9 (Qualifying Exam)

• Example 10 (Qualifying Exam)

• Example 11 (Qualifying Exam)

• Example 12 (Qualifying Exam)

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