Econometrics
Faculty
H. Ichimura
Y. Arai
Description
After discussing advantages and disadvantages of the linear regression analysis, methods to overcome the disadvantages are reviewed. They are the method of instrumental variables, the maximum likelihood method, panel data analysis, and time series analysis.
For each of the methods, we review (1) conditions required to have desirable properties (2) limitations of the method, (3) empirical examples that can be analyzed using the method.
The goal of the course is to develop skills to use the methods with good understanding of these points.
The textbook is:
Wooldridge, J. (2005) “Introductory Econometrics” 3rd edition Thomson South-Western
Useful references are:
Stock, J. And M. Watson (2003) “Introduction to Econometrics,” Addison Wesley
Hayashi, F. (2000), “Econometrics,” Princeton University Press.
Wooldridge, J. (200 7 ) “Econometric Analysis of Cross Section and Panel
Data” MIT Press 2nd edition.
Graded based on 30% homework 70% exam performance.