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Economics 581
Econometric Theory II

Course Description

Spring 2000
TuTh 3:30-4:50
Savery 216

Office Hours: W 4-5 or by appointment

Eric Zivot
310F Savery Hall

This course is the first is a two quarter sequence in graduate-level econometrics.  This course will stress models and methods over formal proofs (for proofs etc. take Econ 583). We will spend a great deal of time on the computer doing applied econometrics and we will use the econometrics program EVIEWS and the matrix programming language MATLAB for most of our assignments.

Course Prerequisites

Satisfactory completion of Econ 580 or equivalent.

Course Requirements

Credit for this course is obtained by successfully completing

  • weekly homework assignments (including computer labs) (10%)
  • Empirical/Computer Exercise (20%)
  • In class midterm exam (30%)
  • In class final exam (40%)


I will distribute weekly homework assignments, which will be a combination of computer labs using EVIEWS and/or MATLAB and analytical problems. Regarding the homework assignments and computer programs, I or the TA will provide detailed instructions for using EVIEWS and MATLAB. EVIEWS and MATLAB are available on the CSSCR network and in the economics computer lab on the third floor of Savory Hall.

Quiz Section

There will be Friday discussion sessions with the teaching assistant, Kyongwook Choi.

Textbooks and Other Background Material

The required textbooks are (the same textbooks are used in Econ 582):

  • Econometrics, by Fumio Hyashi, Princeton University Press, 2000.
  • The Practice of Econometrics: Classic and Contemporary, by Berndt, E., Addison-Wesley, 1991

Note: Many of the applied homework assignments will be taken from Berndt's book (similar empirical examples are in Hyashi's book as well). In addition to the textbook, I will also give handouts of supplemental material in class and I will post scanned copies of my handwritten notes on the notes page.

Other useful textbooks in Econometrics

Basic econometrics (advanced undergraduate texts - good intuition and less math)

  • Introductory Econometrics: A Modern Approach, by Jeffrey M. Wooldridge, South-Western, 2000.
    • Great examples and lots of data. Very well written.
  • Introduction to Econometrics, by G.S. Maddala, Second Edition, MacMillan, 1992.
  • Introductory Econometrics with Applications, by Ramu Ramanathan, Third Edition, Dryden, 1995.

Applied Econometrics

  • An Introduction to Applied Econometric: A Time Series Approach, by Kerry Patterson, St. Martin's Press, 2000.
  • Econometric Models, Techniques, and Applications, Second Edition, by Intriligator, Bodkin and Hsiao, Prentice Hall, 1996.

Intermediate Econometrics (first year graduate texts - requires linear algebra)

  • An Introduction to Classical Econometric Theory, by Paul A. Ruud, Oxford, 2000.
    • Excellent modern treatment. Somewhat on the theoretical side with slightly strange notation.
  • Econometric Foundations, by Judge, Middlehammer and Miller.
    • Solid text with GAUSS examples.
  • Econometric Methods, Fourth Edition, by Jack Johnston and John Dinardo, McGraw-Hill, 1997.
    • Classic text but feels dated.
  • Econometrics, by Badi Baltagi, Springer, 1998
  • Econometric Analysis 4th Edition, by William H. Greene, MacMillan Publishing, 2000.
    • Now with stupid blue text!
  • Introduction to the Theory and Practice of Econometrics, by Judge, Griffiths, Hill, Lutkepohl and Lee, Wiley, 1992, (Baby Judge)
    • Good for those weak in linear algebra. Friendly text with lots of hand-holding.
  • A Course in Econometrics, by Arthur Goldberger, Harvard, 1991.
    • Stresses the link between conditional expectation and regression
  • Introduction to Econometrics, by Ronald Gallant, Princeton, 1997.

Advanced Econometrics (second year graduate texts - lots of math and statistics)

  • Econometric Theory, by James Davidson, Basil Blackwell, 2000.
  • The Theory and Practice of Econometrics, Second Edition, by Judge et al., Wiley, 1994 (Big Daddy Judge).
    • An encyclopedia of topics. Somewhat out of date.
  • Advanced Econometrics, by T. Amemiya, Harvard, 1985.
    • Classic advanced text. 
  • Estimation and Inference in Econometrics, by Russel Davidson and James MacKinnon, Oxford, 1993.
    • A truly great book! Emphasizes nonlinear regression and geometry.
  • Statistics and Econometric Models, Vols. 1 & 2, by Christian Gourieroux and Alain Monfort, Cambridge University Press, 1995.
  • Statistical Foundations for Econometric Techniques, by Asad Zaman, Academic Press, 1996.