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

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

Relations Among Distributions

Sampling Distributions and Estimation

Conditional Quantiles

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

Paper Title is due today

Homework: Due on September 22

9/22 Probability and Inference
Appendix B & C

Probability and RV's: Part I

9/29 Asymptotic Theory
Appendix D

Asymptotic Theory

Big Oh - Little Oh

Probability and RV's: Part II

Hwk 2: Probability

Key for 2

and

Hwk 3: Sampling

Key for 3

Homework 2: Prob & Stat

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

Key

Hwk 4: Estimators

Prob Stat Review Hwk

Homework: Due on October 13

The Data

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

Multiple Regression: Gauss-Markov and GLS

Hwk 5: Hypothesis Testing

Homework 3: Regression

The data and description

Homework: Hypothesis Testing 1, Due on October 20.

10/20

Mid-term Exam: Get a copy of a past exam here (2005) and the 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

Regression and Inference: A Brief Excursion with some further notes

Hypothesis Testing:t-tests, F-tests, large sample tests and an example of LR, W and LM in simple regression.

Miller L9, L16, L17

LR, Wald and LM from the American Statistician

HWK: Printing sheet music, Key

Homework: Hypothesis Testing 2, Due November 10

Consumption Data in text file and as an EVIEWS workfile

The answer key is in two parts: Part 1 and Part 2

11/10

Functional Form and Structural Change: Chapter 6

Brief notes on specification issues (after the mid-point of the web page).

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, and some hints.

Get the Key

HWK: Hypothesis testing

Homework 4: Hypothesis Testing

Data (STATA or EXCEL) and Description

11/17 Autocorrelation: Chapter 19

Heteroscedasticity: Chapter 8

Missing Data,

Heteroscedasticity and a Brief Excursion into same

Autocorrelation and a Brief Excursion into Same

Multicollinearity

MillerL8

Hypothesis Testing

Answer Key part 1 and part 2

Modeling Cost Functions and the data and data legend

Homework: Heteroscedasticity, Due December 1

There are two parts to the key: Part 1 and Part 2

11/22

Autocorrelation, See 12/8

12/1

Violations of Assumptions

Estimation Frameworks, Chap 14

Method of Moments, Chapter 15

Wooldridge, Journal of Economic Perspectives Heteroscedasticity

Homework 5 - Functional Form

Data on winning speeds

Autocorrelation

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

Homework: Autocorrelation, Due December 15

Answer Key: Part 1 and Part 2

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

Fall 2003

Fall 2001

Fall 1998

Fall 1999

Method of Moments Hwk