Econometrics
Faculty
Description
The classical linear regression model and the ordinary least squares estimation method are studied. We then study methods which are developed to overcome the shortcomings of the ordinary least squares method.They are nonparametric method, instrumental variable method, maximum likelihood method, and the time series analysis.For each of the method, we will examine (1) what the desirable properties of the method are and what the maintained assumptions are for the properties to hold (2) what the shortcomings of the method are (3) how the method are used in practice.The goal of the course is to enable students to use the methods studied in the course with the understanding described above.
The course presumes knowledge of the statistics at the level covered in the Summer term in GraSPP.
The textbook is
Wooldridge, J. (2003) Introductory Econometrics 2nd edition
Thomson South-Western
References are
Hayashi, F. (2000),Econometrics, PrincetonUniversity Press.
Hsiao, C. (2002) Analysis of Panel Data 2nd edition Cambridge University Press.
Stock, J. And M.Watson (2003)Introduction to Econometrics, Addison Wesley
Grades are based on problem set performance (30%) midterm exam (30%) and the final exam (40%).