Economics 527 Econometric Methods

Syllabus

Lecture Notes:

Vector and Matrix Differentiation (updated: October 6, 2009)

LECTURE 1: Basics of Probability. (updated: October 7, 2010)

LECTURE 2: Linear regression model and OLS. (updated: September 24, 2009)

LECTURE 3: Geometry of LS, partitioned regression, goodness of fit. (updated: October 6, 2008)

LECTURE 4: Confidence intervals. (updated: October 14, 2010)

LECTURE 5: Hypothesis testing. (updated: December 21, 2010)

LECTURE 6: Properties of the adjusted coefficient of determination, models misspecification, structural change, dummy variables, forecasts. (updated: November 2, 2010)

LECTURE 7: Large sample theory. (updated: December 21, 2010)

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)

LECTURE 11: GMM, part I. (updated: November 21, 2010)

LECTURE 12: GMM, part II. (updated: December 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:

Practice Questions: