Econometrics I (FINA 8397/7397)

This course is the first part of the first year Ph.D. Econometrics sequence. The pre-requisite for the Econometrics sequence is linear algebra and an introductory econometrics/statistics course. A fundamental knowledge of linear and matrix algebra, calculus and statistics -i.e., the topics covered in the Summer Math Review course- is very important for the Econometrics sequence. The goal of this sequence is to provide you with a broad overview of modern econometric tools. This means understanding when to use what test, which estimator, and why. This sequence is NOT designed to teach you how to use SAS, or Eviews.

Office Hours:
Tuesdays and Thursdays: 3:00-4:00 (MH 210-D) or by appointment.

Textbook:
Econometric Analysis, by William H. Greene, Prentice Hall. (Almost any edition should be fine.)

Other useful references:
Estimation and Inference in Econometrics, by R. Davidon and J. MacKinnon, Oxford University Press, 1993.
Time Series Analysis, by J. D. Hamilton, Princeton University Press, 1994.
Econometric Analysis of Cross Section and Panel Data, by J. Wooldridge, MIT Press, 1999.
Mostly Harmless Econometrics: An Empiricist's Companion, by Joshua D. Angrist & Jörn-Steffen Pischke, Princeton University Press, 2009.

These texts will be supplemented by some articles I will assign during the semester.

Outline of the course:
Introduction - Review of Statistics
Linear Regression Model and OLS
Hypothesis Testing and Prediction
Functional Form and Specification Analysis
Large Sample Properties
IV Estimation
Non-linear Regression Model
Generalized Regression Model
Panel Data Models
Simultaneous Equations Model
Bayesian Methods
Other Econometric Issues (Time Series, Robust and Quantile Regression, etc., if time allows)

Exams and Grading:
Exams (75%) - Three Midterms (9/25, 10/30, 11/29) + Final (12/8?)
Homework (25%) - Regular assignments at the end of each chapter

Some Lectures

Lecture 1. Download Lecture 1

Lecture 2. Download Lecture 2

Lecture 3. Download Lecture 3

Lecture 4. Download Lecture 4

Lecture 5. Download Lecture 5

Lecture 6. Download Lecture 6

Lecture 7. Download Lecture 7

Lecture 8. Download Lecture 8

Lecture 9. Download Lecture 9

Lecture 10. Download Lecture 10

Lecture 11. Download Lecture 11

Lecture 12. Download Lecture 12