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Required Texts
Greene, William H. Econometric Analysis. New York, NY: Prentice Hall, 1999. ISBN: 9780130132970.
Kennedy, J. A Guide to Econometrics. Malden, MA: Blackwell, 1998. ISBN: 0631200886.
Reading Assignments by Lecture
| Part 1: Introduction |
| 1 |
Problems of Measuring Effects and Causes |
|
| 2 |
Multivariate Regression |
Kennedy. Chapter 1 (plus).
Greene. Chapters 1, and 2.1-2.2. |
| Part 2: Matrix Algebra |
| 3 |
Matrix Algebra - Vectors and Matrices, Addition, Multiplication |
Greene. Appendix A. |
| 4 |
Matrix Algebra - Determinants and Inverses |
Greene. Appendix A (cont.) |
| 5 |
Matrix Algebra - Inverses and Quadratics |
Greene. Appendix A (cont.) |
| 6 |
Matrix Algebra - Differentiation and Optimization |
Greene. Appendix A, chapters 3.1-3.2, and 17.1-17.3. |
| Part 3: Regression Model |
| 7 |
Model and Interpretation
Projections and Partial Regression Plots
Properties: Unbiasedness and Bias |
Greene. Chapter 3.3-3.6.
Greene. Chapters 4.1-4.3, 8.2, and 5.4. |
| 8 |
Properties of Estimates |
|
| 9 |
Variance and Confidence Intervals |
Greene. Chapters 4.4-4.8.
Recommended
Appendix C. |
| 10 |
Prediction |
Greene. Chapter 6.6. |
| 11 |
Hypothesis Tests and Model Selection |
Greene. Chapters 6, 7, and 8. |
| 12 |
Maximum Likelihood Estimation |
Greene. Chapters 5.1-5.2, and 17.1-17.4.
Recommended
Greene. Appendix D. |
| 13 |
Qualitative Dependent Variables: Probit and Logit |
Greene. Chapter 21 (skip 21.5).
Greene. Appendix E5.5, and E5.6. |
| 14 |
Sources of Inefficiency: Heteroskedasticity and Weighting |
Greene. Chapters 4.9, and 11. |
| 15 |
Bootstrapping and Quantile Regression |
Greene. Appendix E.4, and chapter 16.3. |
| Part 4: Quasi-Experiments |
| 16 |
Panel Models |
Greene. Chapter 13. |
| 17 |
Panel Models (cont.) |
Greene. Chapter 13 (cont.) |
| 18 |
Instrumental Variables |
Greene. Chapters 5.4-5.7. |
| 19 |
Instrumental Variables (cont.) |
Greene. Chapter 15. |
| 20 |
Research Design |
|
|