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ECON 7828-001 Econometrics

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ECON 7828-001 Econometrics
Economics 7828
Dr. Waldman
January 16, 2007
Office hours: TBA
Course Information
Economics 7828 is a one-semester course in the fundamentals of econometrics. We will
study the classical, normal, linear regression model. This course is required of all Ph.D
students in economics, and is the prerequisite for Econ 8828 and Econ 8838, the seminar
courses for those students wishing to take econometrics as a field.
Meetings: class will meet TR 9:30 - 10:45 in Room 5 of the Economics building.
Prerequisites: Econ 7818, and knowledge of basic linear algebra (see Appendix A in the
text).
Requirements: There will be a midterm exam, a final exam, and periodic problem sets,
each contributing approximately 1/3 to the course grade.
Text: Econometric Analysis, by William H. Greene, 5th edition (2003), Prentice Hall.
This widely used text is a good reference for the practicing econometrician. It is
available in the bookstore and on Amazon. Any edition will be acceptable.
The course website is through the CU Learn program.
Tentative text coverage: Parts of Chapters 1 - 8 and 10 - 12, 14 - 15.
Outline
Week 1
Weeks 1-2
Weeks 3-4
Weeks 5-6
Week 7
Introduction to econometrics
Specification of the general linear model and
estimation by least squares
Finite and large sample properties of least squares
estimators
Inference and prediction
Functional form and model specification
Ch. 1
The generalized linear regression model
Systems of regression equations
Simultaneous equations models
Topics in econometrics
Review
Chs. 10 - 12
Ch. 14
Ch. 15
Chs. 2 - 3
Chs. 4 - 5
Ch. 6
Chs. 7 - 8
Midterm exam
Weeks 8-9
Week 10
Weeks 11-12
Weeks 13-14
Week 15
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