Economics 582
Econometrics III

Eric Zivot
Spring 1998
Department of Economics Office: 310F Savory
University of Washington Phone: 543-6715
Office Hours: W 11-12
E-mail: ezivot@u.washington.edu

Course Description

This course is a continuation of Econ 581 (Econometrics II) 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 (e.g. it can't do general maximum likelihood estimation) so we will also use the matrix programming language GAUSS 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%)
• midterm exam (35%)
• final exam (55%)

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

There will be Friday discussion sessions with the teaching assistant, Chris Murray.

Textbooks

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

• Econometric Analysis 3rd Edition, by William H. Greene, MacMillan Publishing, 1997.
• The Practice of Econometrics: Classic and Contemporary, by Ernst R. Berndt, Addison Wesley, 1991.

Note: Many of the applied homework assignments will be taken from Berndt's book. In addition to the textbook, I will also give handouts of supplemental material in class

Other useful textbooks in Econometrics (in order of difficulty)

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

• Intriligator, Bodkin and Hsiao, Econometric Models, Techniques, and Applications, Second Edition, Prentice Hall, 1996.

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

• Johnston and Dinardo, Econometric Methods, Fourth Edition, McGraw-Hill, 1997.
• Baltagi, Econometrics, Springer, 1998
• Judge et. al., Introduction to the Theory and Practice of Econometrics, Wiley, 199?, (Baby Judge)

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.