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Economics 582
Econometric Theory II

Course Description

Spring 2000

Eric Zivot
310F Savery Hall
543-6715

This course is a continuation of Econ 581 (Econometric Theory I) and covers a number of topics in econometrics including maximum likelihood estimation, nonlinear least squares and nonlinear optimization, multivariate regression, simultaneous equations models, dynamic regression models, and limited dependent variables models. This course will stress models and methods over 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 for most of our assignments. However, EVIEWS cannot do everything we cover in this course  so we will also use the matrix programming language MATLAB for some of the assignments.

Course Prerequisites

Satisfactory completion of Econ 581 or equivalent.

Course Requirements

Credit for this course is obtained by successfully completing

  • weekly homework assignments (including computer labs) (10%)
  • Matlab programming project (20%)
  • midterm exam (30%)
  • final exam (40%)

Homework

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 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, Clarisse Messemer.

Textbooks and Other Background Material

The required textbooks are (the same textbooks used in Econ 581):

  • Econometric Analysis 4th Edition, by William H. Greene, MacMillan Publishing, 2000.
  • Introductory Econometrics: A Modern Approach, by Jeffrey M. Wooldridge, South-Western, 2000.

Note: Many of the applied homework assignments will be taken from Berndt's book (see below under applied econometrics). 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)

  • G.S. Maddala, Introduction to Econometrics, Second Edition, MacMillan, 1992
  • Ramu Ramanathan, Introductory Econometrics with Applications, Third Edition, Dryden, 1995.

Applied Econometrics

  • Berndt, E., The Practice of Econometrics: Classic and Contemporary, Addison-Wesley, 1991
  • Intriligator, Bodkin and Hsiao, Econometric Models, Techniques, and Applications, Second Edition, Prentice Hall, 1996.

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

  • Paul A. Ruud, An Introduction to Classical Econometric Theory, Oxford, 2000.
  • Jack Johnston and John Dinardo, Econometric Methods, Fourth Edition, McGraw-Hill, 1997.
  • |Badi Baltagi, Econometrics, Springer, 1998
  • Judge et. al., Introduction to the Theory and Practice of Econometrics, Wiley, 1992, (Baby Judge)
  • Arthur Goldberger, A Course in Econometrics, Harvard, 1991
  • Ronald Gallant, A Course in Econometrics, Princeton, 1997.

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

  • Judge et al., The Theory and Practice of Econometrics, Second Edition, Wiley, 1994 (Big Daddy Judge).
  • T. Amemiya, Advanced Econometrics, Harvard, 1985.
  • Russel Davidson and James MacKinnon, Estimation and Inference in Econometrics, Oxford, 1993.
  • Christian Gourieroux and Alain Monfort, Statistics and Econometric Models, Vols. 1 & 2, Cambridge University Press, 1995.
  • Asad Zaman, Statistical Foundations for Econometric Techniques, Academic Press, 1996.