Temple University

Department of Economics

Economics 615 Econometrics I

Fall 1998

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.

Electronic Texts:

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.
Course Grade Determination:

Homework 25%
Midterm 25%
Final 25%
Paper 25%

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.

Date Topic Reading Assignment Due
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
and Key
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.

homejump.gif (2462 bytes)