Temple University

Department of Economics

**Economics 615 Econometrics I**

Fall 2002

Speakman Room 213

Monday 4:40 PM - 7:25 PM

Information for an electronic age: | Send me email: Andrew J. Buck |
Call me: 215-204-1985 FAX me: 215-204-8173 |

Visit me: |
813 Ritter Annex Monday, 3 - 4:30 PM |

**Texts and other materials: **

**Required: The following two items are
required. There will be no exceptions!**

**a. Econometric Analysis, 4th Ed., William H. Greene, Prentice-Hall, 2000. **

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. The fourth edition is not much changed from the third. However, the
fourth edition has a CD with the data sets from the text and an abbreviated version of
LIMDEP, Greene's statistical software package. BUY THE 4TH EDITION.

**b. MathCAD **symbolic computer algebra program by MathSoft. I will
make arrangements for you to get this at a student price. Of course you
will need access to a machine with enough horsepower to operate this
software.

**Optional (If you can find a copy):**

**Basic Econometrics, 3rd Ed. or more recent, 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 background reading for
Greene.

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.

There is an index to other course notes available online. The files are predominantly in *.pdf and so your computer is nothing more than an electronic page turner.

Links to some graphic JAVA applets to aid your understanding.

**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 or that you are better prepared than the
other students in the class. 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%

**Homework:** 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 practical consequence of this is that
you may have to do some research in order to do your homework. The
homework is a mix of assignments from similar courses offered at
other universities and from past versions of Econ 615. This should give you some idea of what your peers are
doing around the world.

**Paper:** You will note in the syllabus that there are some interim
products which must be produced as part of your research paper. If you do not submit the
interim products then I will not accept the paper. You must turn in a diskette with
your data and regression programs. A late paper will automatically receive a grade no
higher than a 90%.

**Exams:** The midterm will cover all material to that point. It is
mandatory. The final is cumulative and mandatory. Only a note from a medical
doctor will be accepted
for missing an exam. **The date for the final 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 | Homework |

Sept 9 | Descriptive Statistics and Probability | Greene, Chap 3 | |

Sept 16 | Random Variables and Distributions | Greene, Chap 3 | Hwk 1:
Descriptive Stats and Probability
Answer Key Paper Title |

Sept 23 | Sampling Distributions and Estimation | Greene, Chap 4 | Hwk 2:
Random Variables; Key
Paper Abstract-- Statement of Problem |

Sept 30 | Hypothesis Testing, Small Sample and Large Sample | Greene, Chap 4, Miller L15 | Hwk 3: Sampling |

Oct 7 | Analysis of Variance | ||

Oct 14 | Simple Regression, MVNB: Simple Regression | Hwk 4: ANOVA | |

October 21 | Exam
Mid-term Exam and Answer Key from 1999. |
Hwk 5: Simple Regression | |

October 28 | Matrix Algebra | Greene, Chap 2 | Annotated Bibliography |

November 4 | Multiple Regression: OLS, RLS and their Properties, An Application | Greene, Chap 6; Miller L1, L2, L3 | Hwk 6: Linear Algebra |

November 11 | Multiple Regression: Gauss-Markov and GLS | Greene, Chap 6 | Hwk 7: Printing of Classical Music |

November 18 | Hypothesis Testing:t-tests, F-tests, large sample tests | Greene, Chap 7; Miller L9, L16, L17 | Detailed Outline |

November 25 | Data Problems: Misspecification, Missing Data, Multicollinearity | Greene, Chap 9; MillerL8 | Hwk 8: Bread and Meat (Data) and Hints |

December 2 | Heteroscedasticity | Greene, Chap 12 | Hwk 9: Almon Specification (Data) or Data |

December 9 | Autocorrelation | Greene, Chap 13 | Hwk 10: Heteroscedasticity (Data) |

December 16 | Final Exam
Key Fall 2001 |
Hwk 11: Autocorrelation (Data) Paper |

To get the set of MathCAD documents I have been using in class click for the self-extracting file.