Temple University
Department of Economics
Economics 8009 (was 615)
Econometrics I
Fall 2011
Thursday
5:30  8 PM
Anderson 2
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 2011  
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.  Homework: Due on September 15 

9/15  Probability and Inference Appendix B & C 
Statistical Boot Camp Fundamentals of Probability Fundamentals of Statistics 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. Linear Algebra Hwk Answer Key 
Paper Title is due today Homework: Due on September 22 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 Homework 2: Prob & Stat Answer Key 
The following items are due today: 1. Abstract 2. Annotated Bibliography 

10/6  Classical Linear Regression Chapter 2  3 
A Brief Excursion into Multiple Regression Multiple Regression

Inference
Hwk 4: Estimators Prob Stat Review Hwk A MCAD key. Still don't have MCAD? Try *.rtf

Homework: Due on October 13 The Data 

10/13  Properties of the LS Estimator Chapter 4 
Miller L1, L2, L3 Multiple Regression: GaussMarkov and GLS

Hwk 5:
Hypothesis Testing Homework 1 Homework 3: Regression The data and description Answer Key 
Homework: Hypothesis Testing 1, Due on October 20. Answer Key 

10/20  Midterm Exam: Get a copy of a past exam here (2005) and the answer Key Fall 2011 Answer Key 
Fall 2008 Answer Key 2010 Key 

10/27  Review Exam Large Sample Properties, Chap 4 
Multiple Regression  
11/3  Inference and Prediction, Chap 5 Maximum Likelihood 
Regression and Inference: A Brief Excursion with some further notes Hypothesis Testing:ttests, Ftests, large sample tests and an example of LR, W and LM in simple regression. LR, Wald and LM from the American Statistician 
HWK:
Printing sheet music, Key

Outline, click here for an excellent example of an outline. Homework: Hypothesis Testing 2, Due November 10 Consumption Data in text file and as an EVIEWS workfile 

11/10  Functional Form and Structural Change: Chapter 6 
Brief notes on specification issues (after the midpoint of the web page). 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, and some hints. Get the Key HWK: Hypothesis testing Homework 4: Hypothesis Testing Data (STATA or EXCEL) and Description Answer Key 

11/17  Autocorrelation: Chapter 19 Heteroscedasticity: Chapter 8 
Missing Data, Heteroscedasticity and a Brief Excursion into same Autocorrelation and a Brief Excursion into Same MillerL8 
Hypothesis Testing
Answer Key part 1 and part 2 Modeling Cost Functions and the data and data legend 
Homework: Heteroscedasticity, Due December 1 

11/22 
Autocorrelation, See 12/8 

12/1  Violations of Assumptions Estimation Frameworks, Chap 14 Method of Moments, Chapter 15 Meth of Moments, MathCAD 
Wooldridge, Journal of Economic Perspectives  Heteroscedasticity
Homework 5  Functional Form Data on winning speeds Answer Key 


12/8  This is a study day. NO CLASS.Your paper is due today. Please dropit off in my mailbox before 5 PM. Thanks. 
Heteroscedasticity and Autocorrelation Homework 
Paper is due TODAY, no exceptions! Click here for a grading rubric. Homework: Autocorrelation, Due December 15 

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

Answer Key Fall 2003 Fall 2001 Fall 1998 Fall 1999

Method of Moments Hwk Answer Key

Fall 2011 Key 