|
This course is a continuation of Econ 581 (Econometric Theory
II) and
covers a number of topics in econometrics including instrumental variables
regression, maximum likelihood
estimation and limited dependent variables models, multivariate regression
(seemingly unrelated regression, panel data, simultaneous
equations models), time series, and dynamic regression
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
EVIEWS and MATLAB for most of our assignments.
Course Prerequisites
Satisfactory completion of Econ 581 or equivalent.
Course Requirements
Credit for this course is obtained by successfully completing
- weekly homework assignments (10%)
- bi weekly computer labs (30%)
- midterm exam (30%)
- final exam (30%)
Homework
There will be weekly homework assignments, which will be
mostly analytic questions, and bi-weekly computer labs using EVIEWS and/or MATLAB. 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. The econ dept at
UW has a site license agreement with QMS (makers of EVIEWS) so that students
may purchase EVIEWS at a heavily discounted price. See Sharon or Dick Startz
for the paperwork to purchase EVIEWS on the UW site license.
Quiz Section
There will be Thursday discussion sessions with the teaching assistant,
Kristina Nagi.
Her quiz section webpage is
http://students.washington.edu/knagy/econ582sp04.html.
Textbooks and Other Background
Material
The required textbooks are (the same textbooks are used in Econ
581):
- Econometric Theory and Methods, by Russell
Davidson and James G. MacKinnon, Oxford University Press, 2004.
- Econometric Analysis, Fourth Edition, by William Greene,
Prentice Hall, 2000.
- Introductory Econometrics: A Modern Approach,
Second Edition, by Jeffrey M.
Wooldridge, South-Western, 2003.
Note: Some of the computer lab assignments will be taken from
Ernst Berndt's
book The
Practice of Econometrics.
Other Useful
Textbooks in
Econometrics
Basic econometrics (advanced undergraduate
texts - good intuition and less math)
- Introduction to Econometrics, by G.S. Maddala, Second Edition, MacMillan, 1992.
- Introductory Econometrics with Applications, by Ramu Ramanathan,
Third Edition,
Dryden, 1995.
Applied Econometrics
- The Practice of Econometrics: Classic and Contemporary, by Berndt, E.,
Addison-Wesley, 1991
- 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)
-
- A Guide to Modern Econometrics, by M. Verbeek, John Wiley
& Sons, 2000.
- Excellent short and concise treatment of the basics of graduate
level econometrics. Highly recommended.
- 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
- 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)
- Econometrics, by Fumio Hyashi, Princeton University Press,
2000.
- Excellent discussion of GMM. I use this as the
main textbook for Econ 583.
- 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 but still a
classic.
- Advanced Econometrics, by T. Amemiya, Harvard, 1985.
- 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.
|
