Department of Economics
Economics 615 Econometrics I
Class was scheduled for Curtis 202.
We will be meeting in 113 Speakman Hall effective immediately!
Note for the Students in Tokyo
Try out the new discussion forum for econometrics!
Texts and other materials:
Econometric Analysis, 3rd Ed., William H. Greene, Prentice-Hall, 1997.
This book is the most widely used text in U..S. grad programs. It will challenge you every step of the way, but it is well worth the investment in time and money.
Basic Econometrics, 3rd Ed., Damodar Gujarati, McGraw-Hill, 1995.
Gujarati's book is a nice undergraduate treatment of econometrics. It is short on theory and has many numerical examples; as such it makes good back ground reading for Greene.
MathCAD 7, Student version, MathSoft, Inc.
This software supports numerical and symbolic software. It is menu and point and click driven. It will only take a short time to learn some of the idiosyncracies.
The syllabus has many links to the lecture notes which I have written over the years. The lecture notes are meant to be read along with the text for the course. In addition I have links to a set of lecture notes prepared by Douglas J. Miller (Ph.D., Berkeley, 1994), Assistant Professor of Economics, Iowa State University. His excellent lecture notes are more advanced than my own.
Rules of the Game:Attendance is at your discretion, but I have not met anyone who can do well in graduate school without a near religious commitment to the course of study. You should read the assignments before coming to class. This applies even if you feel that we are way behind schedule. As in all of your classes, the subject is cumulative. Sometimes an earlier discussion will become clearer by having read material which comes after it. Our time in class is brief. To make the most of that class time you should write out your questions and bring them with you; you should quiz yourself on what you have read; you should get together in study groups and quiz one another. If you haven't already heard, this class is demanding. Come to class prepared and don't fall behind. You can read some more about where we are headed with 615 and 616.
To discourage late homework, it is accepted at only 50% of the lowest score earned by those who turned it in on time. The PhD is a research degree. When you are done you are certified as having the ability to conceptualize, research and solve problems in economics. The practicla consequence of this is that you may have to do some research in order to do your homework. You will note in the syllabus that there are some interim products which must be produced as part of your paper. If you do not submit the interim products then I will not accept the paper. A late paper will automatically receive a grade no higher than a 90%. The final is cumulative and mandatory. The date is included in the syllabus, make your travel plans accordingly.
Syllabus: The following table will provide you
with a schedule for homework, reading and exams. Econometrics is not the sort of subject
that can be left for a last minute cram. It takes a continuous level of effort.
|Aug 31||Descriptive Statistics and Probability||Greene, Chap 3|
|Sept 14||Random Variables and Distributions||Greene, Chap 3||Paper Title|
|Sept 21||Sampling Distributions and Estimation||Greene, Chap 4||Hwk1, Answer Key to Hwk 1,
Abstract - Statement of Problem
|Sept 28||Hypothesis Testing, Small Sample and Large Sample||Greene, Chap 4, Miller L15||Hwk 2, Answer key to Hwk 2 in *.MCD|
|October 5||Analysis of Variance||Buck|
|Oct 12||Simple Regression, MVNB: Simple Regression||Buck|
|October 19||Mid-term Exam and Answer Key||Hwk 3 problem set & Data set, and key|
|October 26||Matrix Algebra||Greene, Chap 2||Annotated Bibliography|
|Nov 2||Multiple Regression: OLS, RLS and their Properties, An Application||Greene, Chap 6; Miller L1, L2, L3|
|November 9||Multiple Regression: Gauss-Markov and GLS||Greene, Chap 6||Hwk 4 problem set, data set and key|
|November 16||Hypothesis Testing:t-tests, F-tests, large sample tests||Greene, Chap 7; Miller L9, L16, L17||Detailed Outline|
|November 23||Data Problems: Misspecification, Missing Data, Multicollinearity||Greene, Chap 9; MillerL8||Hwk 5 and the data
|November 30||Heteroscedasticity||Greene, Chap 12|
|December 7||Autocorrelation||Greene, Chap 13||Hwk 6 and Data1 and Data2. The self extracting file is a helpful approach on this one. Answer key.|
|December 14||Final Exam||Paper,
Optional autocorrelation Hwk and data
To go to a page with all of the homework assignments and data bases for Econ 615 and 616 just give a little click!
To get the set of MathCAD documents I have been using in class click for the self-extracting file.