Advanced Study of Econometrics 2
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Syllabus |
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Problem Sets |
Homework |
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(9/25/14)
My office hours this semester are MR 12:10-12:55.
Objective
Learning the correct use of econometrics.
Textbook
Greene, William H.,
Econometric Analysis, 7th ed.,
Pearson Education, 2011
Related Courses
Advanced Study of Econometrics 1
Grading
There will be three mid-term exams and a final exam.
It is necessary to submit all homeworks (answer ALL questions).
Students can work together on homeworks, but must turn them in separately.
You must download and install
Adobe Acrobat Reader to view the course materials.
Abbreviations used in my lecture notes:
iff (if and only if),
s.t. (subject to),
s.th. (such that),
w.l.o.g. (without loss of generality),
w.r.t. (with respect to),
WTS (want to show).
- (9/26)Course guidance, Linear Algebra #1 (A.1-A.3)
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- (9/29)Linear Algebra #2 (A.4-A.7)
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- (10/3)Vector Differentiation (A.8)
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- (10/6)Probability (B.1-B.8, B.10)
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- (10/10)Normal Distributions (B.9, B.11)
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- (10/17)Point Estimation (C.1-C.5)
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- (10/20)Hypothesis Testing (C.6-C.7)
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- (10/24)Asymptotic Theory (D)
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- (10/27)Midterm 1
- (11/6)MM and ML Estimators (13.1-13.2, 14.1-14.5)
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- (11/7)Regression Models and OLS (2, 3)
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- (11/10)Finite-Sample Properties of OLS Estimators (4.1-4.3)
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- (11/14)Asymptotic Properties of OLS Estimators (4.4)
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- (11/17)Classical Asymptotic Tests (14.6)
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- (11/21)Classical Asymptotic Tests in CLRMs (5.1-5.7)
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- (11/26)Midterm 2
- (11/28)IV Estimation (8.1-8.5)
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- (12/1)Generalized Linear Regression Models (9.1-9.4, 9.6)
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- (12/5)GMM Estimation (13)
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- (12/8)Testing for Heteroskedasticity (9.5)
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- (12/12)Multivariate LRMs (10.1-10.2)
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- (12/15)Panel Data (11.1-11.5)
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- (12/19)Midterm 3
- (12/22) Nonlinear Regression Models (7.1-7.2.3, 7.2.6, 12.5, E.3)
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- (12/26) Hypothesis Testing in NRMs (7.2.4-7.2.5)
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- (1/9) Specification (3.5.1, 4.3.2-4.3.3, 4.7.2, 5.10, 6.2)
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- (1/15) Time Series (20.1-20.5)
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- (1/19) Testing for Serial Correlation (20.7)
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- (1/23) Estimation of Models with AR(1) Errors (20.8-20.9)
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- (1/26) Simultaneous Equations Models (10.6.1-10.6.5)
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- (1/30) Qualitative Response Models (17.1-17.3, 18.1-18.3.1)
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- (2/2) Limited Dependent Variables (19.1-19.3, 19.5)
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- (2/6) Count Data (18.4)
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- (2/9) Duration Data (19.4)
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- (9/26) Problem Set 1
- (9/29) Problem Set 2
- (10/3) Problem Set 3
- (10/6) Problem Set 4
- (10/10) Problem Set 5
- (10/17) Problem Set 6
- (10/20) Problem Set 7
- (10/24) Problem Set 8
- (11/6) Problem Set 9
- (11/7) Problem Set 10
- (11/10) Problem Set 11
- (11/14) Problem Set 12
- (11/17) Problem Set 13
- (11/21) Problem Set 14
- (11/28) Problem Set 15
- (12/1) Problem Set 16
- (12/5) Problem Set 17
- (12/8) Problem Set 18
- (12/12) Problem Set 19
- (12/15) Problem Set 20
- (12/22) Problem Set 21
- (12/26) Problem Set 22
- (1/9) Problem Set 23
- (1/15) Problem Set 24
- (1/19) Problem Set 25
- (1/23) Problem Set 26
- (1/26) Problem Set 27
- (1/30) Problem Set 28
- (2/2) Problem Set 29
- (2/6) Problem Set 30
- (2/9) Problem Set 31
- (Due on 10/6) Homework 1
- (Due on 10/20) Homework 2
- (Due on 11/6) Homework 3
- (Due on 11/17) Homework 4
- (Due on 11/28) Homework 5
- (Due on 12/12) Homework 6
- (Due on 1/9) Homework 7
- (Due on 1/30) Homework 8
- (Due on 2/6) Homework 9