Course Outline for Econometrics I | ECON 7060, Lecture notes of Introduction to Econometrics

Download Course Outline for Econometrics I | ECON 7060 and more Lecture notes Introduction to Econometrics in PDF only on Docsity! Econometrics I (ECON 7060) Fall 2014 Dr. Karen Mulligan Meeting Times: R 2:40-5:40p, BAS S306 Summary: Econometrics I is an introduction to econometrics for PhD students which focuses on linear regression and hypothesis testing. Advanced topics will include regression when classical Gauss-Markov assumptions do not hold, measurement error, instrumental variables, and binary response models. Familiarity with matrix algebra is assumed, but we will review key concepts as the need arises. Grades: Course grades will be based on problem sets (15%), empirical exercises (30%), a midterm (25%), and a final exam (30%). Problem Sets: You are encouraged to work together on problem sets, however, you must hand in your own write-up. Identical write-ups will result in a zero for both students. There will be computer work required on most problem sets. You may use whatever statistical package you like, but I will be using Stata in class. Empirical Exercises: You will have 2-3 empirical exercises (projects) over the course of the semester. These are individual projects, and will help you get your feet wet in regards to dealing with data and estimation, as well as learning how to effectively write in an applied setting. Contact Information: Karen Mulligan, BAS N311, karen.mulligan@mtsu.edu Office Hours: Tuesday 11:30-1:00 and 2:00-4:00; Thursday 11:30-1:00; Friday by Appointment Course Website: All course handouts, additional readings, problem sets, and data links will be posted on the D2L site. Reading: There is not a specific required textbook for this class, however I would recommend you purchase an econometrics textbook. Some options are listed below: Econometric Analysis, by William Greene (any edition is fine) Econometrics, by Fumio Hayashi Econometric Analysis of Cross Section and Panel Data, 2e, by Jeffrey M. Wooldridge Bruce Hansen has a good (although advanced) unpublished econometrics manuscript available on his website. http://www.ssc.wisc.edu/~bhansen/econometrics/ Microeconometrics: Methods and Applications (2005) by A. Colin Cameron and Pravin K. Trivedi Mostly Harmless Econometrics: An Empiricist’s Companion (2009) by Joshua D. Angrist and Jörn-Steffen Pischke. A Guide to Econometrics, 4e, by Peter Kennedy Introductory Econometrics: A Modern Approach, 4e, by Jeffrey M. Wooldridge. If you have not taken undergrad econometrics, I strongly recommend purchasing this textbook. It is a good reference even beyond the undergrad level. Statistical Inference, by George Casella and Roger L. Berger. This is a good probability and statistics book if you are looking for one. Although we will spend some time doing some prob/stats background, you do not need to purchase a separate book. Course Outline: Wooldridge refers to the graduate text book; CT: Cameron and Trivedi; MHE: Mostly Harmless Econometrics Introduction, Probability and Stats Review Greene Ch. 1 Appendices Wooldridge Ch. 1-3 Linear Regression: Estimation and Properties Greene Ch. 2-5 Wooldridge Ch. 4.1, 4.2 CT Ch. 4.1-4.4 MHE Ch. 3.1-3.2 Linear Regression: Hypothesis Testing Greene Ch. 6 CT Ch. 7 Midterm Exam (Tentative date: Thursday, October 9) Specification Error, Error in Variables, Heteroskedasticity, Serial Correlation Greene Ch. 8, 11-12 Wooldridge Ch. 4.2-4.4 CT Ch. 4.5, 8, 26 Binary Response Models Greene Ch. 21 Wooldridge Ch. 15.1-15.6 CT Ch. 5, 14 MHE Ch. 3.4.2