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Eric Zivot
Economics 581
Econometric Theory II

Syllabus/Reading List

Winter 2001

Last updated: February 12, 2001

Notes: H denotes "Hyashi" and B denotes "Berndt". The reading assignments are grouped by topic. The topics roughly correspond with the weeks of the quarter but some topics may more or less than a week to complete.

Least Squares

Textbook Readings

Additional Readings

• H, chapter 1 (sections 1-4, 6-7)

• Berndt, The Practice of Econometrics, chapter 2 (Capital Asset Pricing Model) and 3 (estimation of cost functions and learning curves). 

Introduction to Asymptotics

Textbook Readings

Additional Readings

• H, chapter 2 (section 1)

• Notes on asymptotics part I
• Notes on asymptotics part II
• Notes on the "delta method"

Midterm Exam

Time Series Concepts

Textbook Readings

Additional Readings

• H, chapter 2 (section 2)

• Notes on covariance stationary models.
• Time Series for Macroeconomics and Finance, by John Cochrane, unpublished lecture notes, 1997. Available from Cochrane's web site in Adobe Acrobat and Postscript formats.

Asymptotics for Regression

Textbook Readings

Additional Readings

• H, chapter 2  (sections 3-8, 10-11)

Regression with Engodenous Variables

Textbook Readings

Additional Readings

• H, chapter 3 (sections 1-3)

Single Equation GMM

Textbook Readings

Additional Readings

• H, chapter 3 (sections 4-9)