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ECON 7828-001 Econometrics

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ECON 7828-001 Econometrics
Economics 7828
Dr. Waldman
January 15, 2008
Tentative office hours: Tues, Wed: 2:30 - 4:00
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 3:30 - 4:45 in room 206, Guggenheim Geography building.
Prerequisites: Econ 7818, and knowledge of basic linear algebra. A good review of the
prerequisites is contained in Appendices A - D in the text (Matrix Algebra, Probability
and Distribution Theory, Estimation and Inference, and Large Sample Distribution
Theory).
Requirements: There will be a midterm exam, March 4, a final exam, and periodic
problem sets, each contributing approximately 1/3 to the course grade.
Text: Econometric Analysis, by William H. Greene, Prentice Hall. This widely used text
is a good reference for the practicing econometrician. It is available in the bookstore and
on Amazon.com and half.com. Any edition will be acceptable.
The course website is through the CU Learn program.
Tentative text coverage and order of presentation:
Chapters in 5th ed.
1
2
3
4
5
6
8
10
11
12
14
15
Sections
all
all
1-3, 5, 6
1-9, 10
1-3, 7
1-3, 6, 7
1, 2, 5
1-3, 5, 7
1,2, 4-6, 9
1,2,5,7,9,12
1, 2, 5
1-5
6th ed.
1
2
3
4
4
5
7
8
8
19
10
13
Topic
Introduction
Classical Multiple Linear Regression Model
Least Squares
Finite Sample Properties of LS Estimators
Large Sample Properties of LS Estimators
Inference and Prediction
Specification Analysis and Model Selection
The Generalized Regression Model
Heteroskedasticity
Serial Correlation
Systems of Equations
Simultaneous Equation Model
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