Temple University
Department of Economics
Economics 8009 (was 615)
Econometrics I
Fall 2009
Wednesday
5:30  8 PM
Speakman 112
Syllabus
An Introduction to R
An R Manual for Econometrics
A web site for data exchange.
Date  Topic from Greene  Notes  Practice Problems  Hwk for 2009  
9/2  Discussion: Correlation and causation  Discussion Questions, Temp and GDP data, Wine and Crime data  
9/9  Linear Algebra Appendix A 
Matrix Algebra
Problems in Mathview Problems in MathCAD 
This semester we will be doing problems from Greene's text after the first few weeks. The homework links shown below are for your information only.  
9/16  Probability and Inference Appendix B & C 
Descriptive Statistics and
Probability
Random Variables and Distributions Relations Among Distributions
Sampling Distributions and Estimation Conditional Quantiles Linear algebra and probability Hypothesis Testing, Small Sample and Large Sample See this great online virtual laboratory probability and statistics site. Wikipedia has a lucid discussion of the Fisher Information Matrix, necessary in understanding the relation between W, LM and LR tests. 
Hwk 1:
Algebra
What I had in mind.

Paper Title is due today
Linear Algebra Hwk 

9/23  Probability and Inference Appendix B & C

Probability
and RV's: Part I
Answer Key


9/30  Asymptotic Theory Appendix D

Asymptotic
Theory Big Oh  Little Oh

Probability and
RV's: Part II
Answer Key Hwk 2: Probability Key for 2 and Hwk 3: Sampling Key for 3

The following items are due today: 1. Abstract 2. Annotated Bibliography 

10/7  Classical Linear Regression Chapter 2  3 
Multiple
Regression

Inference
Hwk 4: Estimators

Prob Stat Review Hwk  
10/14  Properties of the LS Estimator Chapter 4 
Miller L1, L2, L3 Multiple Regression: GaussMarkov and GLS

Hwk 5:
Hypothesis Testing Homework 1 

10/21  Midterm Exam: Get a copy of a past exam here and the answer Key  Fall 2008 Answer Key 
2009 Exam and Key  
10/28  Review Exam Large Sample Properties, Chap 4 
Multiple Regression  
11/4  Inference and Prediction, Chap 5 Maximum Likelihood 
Hypothesis Testing:ttests,
Ftests, large sample tests
LR, Wald and LM from the American Statistician 

Outline, click here for an excellent example of an outline.  
11/11  Functional Form and Structural Change: Chapter 6 
Specification
Problems: Omitted variables, functional form, dummies and splines &
nonnested hypotheses Functional Form with MathView Splines and Dummies with MathView 
Hypothesis Testing: Bread and Meat. Get the data Get the Key 
HWK: Hypothesis testing  
11/18  Autocorrelation: Chapter 19 Heteroscedasticity: Chapter 8 
Missing Data,
MillerL8 
Hypothesis Testing
Answer Key part 1 and part 2 Modeling Cost Functions and the data and data legend 

11/25 
Thanksgiving Break  No Class 

12/2  Violations of Assumptions  Heteroscedasticity  
12/9  Estimation Frameworks, Chap 14 Method of Moments, Chapter 15 Meth of Moments, MathCAD 
Wooldridge, Journal of Economic Perspectives  Answer Key Paper is due TODAY, no exceptions! Click here for a grading rubric. 
Heteroscedasticity and Autocorrelation Homework  
12/16  Final Exam in our usual location and time.

Method of Moments Hwk Answer Key
