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ECON 7818-001 Econometrics

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ECON 7818-001 Econometrics
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INTERMEDIATE ECONOMETRICS I
Economics 7818
Professor Byung-Joo Lee
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Phone: 492-2108
Spring 1995
Office: Economics 102
Office Hours:T/TH l:00-2:30pm
Cou rse Description:
This course is the first sequence of two-semester Ph.D. course of the intermediate
level of econometrics. This course establishes a sound mathematical statistical
background necessary for the graduate econometrics subjects. The main purpose
of this course is to provide the fundamental understanding of econometrics to the
economic analysis.
P rerequisite:
Undergraduate level of economic statistics (ECON3818).
Working knowledge of matrix algebra (ECON7808).
Textbooks:
1.
2.
3.
Leaming and Practicing Econometrics by W . Griffiths, R. C. Hill and G.
Judge, Wiley 1993. (Required).
Introduction to Statistics and Econometrics by T. Amemiya, Harvard
University Press 1994.
Econometric Analysis by W.H. Greene, Macmillan 1992.
I will follow closely the first textbook and we will cover up to chapter 11. The
second textbook, while it is a little bit harder to read, presents excellent statistical
background for econometrics. The third o_ne is more advanced typical
econometrics textbook.
Course Organization:
Two lectures per week. There will be occasional problem sets and homework
assignments. We will have one midterm exam and one final exam. Two exams
and homework assignments are equally weighted for the final grade.
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Others:
You need to learn a computer language ( of your choice) to do some questions in
problem sets. There are many canned statistical software, but most does not have
flexibility. One of the recommended languages is GAUSS . This is available on the
network rastro or you can purchase this for your PC. This is a matrix
manipulation program, and has a very steep learning curve, but it is extremely
flexible. It may be a good investment (in terms of timewise) for the future needs.
Tentative Course Schedule:
Chapters follow from the Learning and Practicing Econometrics by W. Griffiths,
RC. Hill and G. Judge, Wiley 1993.
Contents
Chapter
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8
Introduction to Econometrics
Basic Statistical Concepts
Statistical Inferences
Simple Regression Analysis
Inference in the Simple Regression: 1
Inference in the Simple Regression: 2
1
2
3-4
5
6
7
8
Midterm Exam
1-7
Choosing the functional form
General Linear Statistical Model
Inference in the General Linear Statistical Model
Restricted Least Squares
Review and Summary
8
9
10
1
1-2
3-5
6
7
9
10-11
11-12
13-14
15
16
Final Exam
11
1-11
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