Readings

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

LEC # TOPICS READINGS
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  

Course Info

Learning Resource Types

assignment Problem Sets
grading Exams
notes Lecture Notes