Download ECON 7818-001 Econometrics II

August 29, 2000
Econ.222
email: [email protected]
Economics 7818
Dr. Waldman
Office hours: TR 3:30 - 5:00
Course Information
General: Economics 7818 is a one-semester course in statistics for economics Ph.D. students.
It is the first course in the two-semester requirement in statistics/econometrics for the PhD
offered by the Department of Economics. The fundamental tool of applied economists (and
other social scientists) is called regression analysis. The purpose of this course is to present the
mathematical statistics foundation for the study of regression analysis. Regression analysis is
the topic of Economics 7828.
Prerequisites: There are no economics course prerequisites. Economic examples will be used
in class and for problem sets, but the subject matter is essentially self-contained. General
prerequisites are a knowledge of differential and integral calculus, and more importantly, the
ability to manipulate algebraic expressions, and ultimately, the ability to reason abstractly.
Requirements: There will be two lectures weekly, meeting Tuesdays and Thursdays from
2:00 to 3:15. There will be a midterm exam, Thursday, October 19, a final exam, and periodic
problem sets throughout the semester.
Grading: Grades will be determined approximately as follows:
Midterm:
Final exam:
Problem Sets:
Residual: *
30%
35%
25%
10%
*This includes class participation, contact in office hours, subjective scoring of written work,
etc.
Text: Introduction to Statistics and Econometrics, by Takeshi Amemiya, Harvard University
Press, 1994.
Course outline: The first nine chapters of the text will be covered, in the order presented:
Chapter
1
2
3,4
5, 6
7
8
1
2
3
4
5
Topics
Introduction and basic probability concepts
Probability; random variables
Probability distributions
Moments of a·distribution
Binomial and normal random variables
Midterm review and midterm
9, 10
11-13
14
15, 16
6
7
8
9
Large sample (asymptotic) theory
Point estimation
Interval estimation and Bayesian methods
Hypothesis testing, review