Temple University
Department of Economics

Economics 8009 (was 615)
Econometrics I

Fall 2010

Wednesday
5:30 -  8 PM
Anderson 27

Syllabus

An Introduction to R

Resources for STATA

An R Manual for Econometrics

A web site for data exchange.

Date Topic from Greene Notes Practice Problems Hwk for 2010
9/1 Discussion: Correlation and causation   Discussion Questions, Temp and GDP data, Wine and Crime data  
9/8 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.   
9/15 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

Key 

Algebra

Answer Key

What I had in mind.

Linear Algebra Hwk

Paper Title is due today

 Homework 1: Linear Algebra

Answer Key

9/22 Probability and Inference
Appendix B & C

 

Probability and RV's: Part I

Answer Key

 

 
9/29 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

Homework 2: Prob & Stat

Answer Key

10/6 Classical Linear Regression
Chapter 2 - 3
Multiple Regression

 

 

Inference

Key

Hwk 4: Estimators

Key

 Prob Stat Review Hwk

A MCAD key.  Still don't have MCAD? Try *.rtf

 

10/13
Properties of the LS Estimator
Chapter 4
Miller L1, L2, L3

Multiple Regression: Gauss-Markov and GLS

 

 

Hwk 5: Hypothesis Testing

Homework 1

KEY

Homework 3: Regression

The data and description

Answer Key

10/20 Mid-term Exam: Get a copy of a past exam here and the answer  Key

Fall 2008 Answer Key

2009 Exam and Key

2010 Key
10/27 Review Exam

Large Sample Properties, Chap 4

  Multiple Regression  
11/3

Inference and Prediction, Chap 5

Maximum Likelihood
Chap 16

Hypothesis Testing:t-tests, F-tests, large sample tests

Miller L9, L16, L17

LR, Wald and LM from the American Statistician

 HWK: Printing sheet music, Key

 

Outline, click here for an excellent example of an outline.

11/10  

Functional Form and Structural Change: Chapter 6

Specification Problems: Omitted variables, functional form, dummies and splines & non-nested hypotheses

Functional Form with MathView

Splines and Dummies with MathView

 

Hypothesis Testing: Bread and Meat. Get the data

Get the Key

HWK: Hypothesis testing

MathCAD Key and RTF Key

Homework 4: Hypothesis Testing

Data (STATA or EXCEL) and Description

Answer Key

11/17 Autocorrelation: Chapter 19

Heteroscedasticity: Chapter 8

Missing Data,

Heteroscedasticity

Autocorrelation

Multicollinearity

MillerL8

Hypothesis Testing

Answer Key part 1 and part 2

Modeling Cost Functions and the data and data legend

KEY

 
11/24

Thanksgiving Break -- No Class

12/1 Violations of Assumptions   Heteroscedasticity

Key

Homework 5 - Functional Form

Data on winning speeds

12/8 Estimation Frameworks, Chap 14

Method of Moments, Chapter 15

Meth of Moments, MathCAD

Wooldridge, Journal of Economic Perspectives  

Autocorrelation

Answer Key

Paper is due TODAY, no exceptions! Click here for a grading rubric.

Heteroscedasticity and Autocorrelation Homework

 
12/15 Final Exam in our usual location and time.

 

   

Method of Moments Hwk

Answer Key 

 

 

Some theories of management