Economics 527 Econometric Methods

Syllabus

Lecture Notes:
Vector and Matrix Differentiation (updated: September 22, 2009)
Lecture 1: Basics of Probability (Updated: September 21, 2014)
Lecture 2: Linear regression model and OLS (updated: September 29, 2014)
Lecture 3: Geometry of LS, partitioned regression, goodness of fit (updated: October 7, 2016)
Lecture 4: Confidence intervals (updated: October 25, 2016)
Lecture 5: Hypothesis testing (updated: October 25, 2016)
Lecture 6: Properties of the adjusted coefficient of determination, misspecified models, structural change, dummy variables, forecasts (updated: November 2, 2010)
Lecture 7: Large sample theory (updated: November 7, 2013)
Lecture 8: Large sample properties of OLS, asymptotic confidence intervals and hypothesis testing (updated: December 21, 2010)
Lecture 9: Heteroskedasticity and GLS (updated: December 8, 2008)
Lecture 10: Endogeneity and IV estimation (updated: December 17, 2010) (updated: December 8, 2008)
Lecture 11: GMM, part I (updated: November 21, 2010)
Lecture 12: GMM, part II (updated: November 21, 2010)
Lecture 13: Simultaneous equations (updated: November 15, 2006)
Lecture 14: Maximum likelihood estimation (updated: December 8, 2008)
Lecture 15: Binary response models (updated: December 8, 2008)
Lecture 16: Time series topics. (updated: February 8, 2006)

Assignments:
Assignment 1 due Thursday September 13
Assignment 2 due Thursday September 20
Assignment 3 due Thursday September 27
Assignment 4 due Thursday October 4
Assignment 5 due Thursday October 11
Assignment 6 due Friday October 19
Assignment 7 due Thursday November 1
Assignment 8 due Thursday November 8
Assignment 9 due Thursday November 15
Assignment 10 due Thursday November 22
Assignment 11 due Friday November 30



Practice Questions:

Midterm 2014
Midterm 2015

Midterm 2016
Midterm 2017
Final 2014
Final 2015

Final 2016

Final 2017


   
Stata Notes:
Stata basics

Statistical Tables:
Normal distribution
t-distribution