The purpose of this class is to teach the student the basic tools of econometric analysis and survey the most familiar problems associated with econometric work. The course will stress computing and testing econometric models. Problem sets will be distributed regularly throughout the semester. The textbook used is Econometric Analysis, by William H. Greene (third edition, MacMillan 1993). Computer homework will be also be handed out and will be done with the MICRO-TSP available in the computer room on the third floor.
1. Introduction (Chapter 1)
2. The classical linear regression model (Ch. 5.1-5.6)
3. Multiple Regression (Ch. 6)
4. Hypothesis tests with the multiple regression model (Ch. 7)
5. Functional Form, non-linearity and specification (Ch. 8.1-8.4)
6. Data problems (Ch. 9)
7. Large sample results for the CLR (ch. 10)
First part of class ends here, material for the exam is the seven first sections of the syllabus.
8. Non-linear models (Ch. 11.1-11.2)
9. Non-spherical disturbances (Ch. 13, Ch.17 and Ch.20)
10. Heteroscedasticity (Ch. 14)
11. Auto-correlation (Ch. 15)
12. Time-series models (Ch. 19)
Evaluation: Project, 5%, Midterm 35%, Final 60 %.
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