Download ECON 681-001 Seminar in Mathematical Statistics and Econometric Methods

Spring 1986
Waldman
Economics 681
Introduction: Econ 681 is a one-semester course in mathematical statistics
and econometric methods. The objectives of the course are (1) continue
laying the groundwork for successful participation in the econometric seminar sequence (Econ 683-4), and (2) to provide some basic regression tools
for those students who wish to do empirical work in economics without taking additional courses.
Text: Pindyck, R.S. and Rubinfeld, D.L., Econometric Models and Economic
Forecasts, McGraw-Hill, New York, Second Edition.
Preliminary course outline:
(1) Some concepts in probability and distribution theory. Univariate
random variables, probability density and distribution functions, es·pectation; random vectors, covariance and covariance matrices, multivariate probability density and distribution functions.
(2) $ome distributions in statistics. Normal and rnultinormal, chisquared, student's t and F. Binomial, poisson and gamma. Text: pps. 31-36.
(3) Estimation and hyposthesis testing. Basic principles; maximum likelihood estimation. Text: pps. 24-31, 36-40.
(4) The multiple regression model. Two and more regressors; estimation
and hypothesis testing; goodness of fit. Text: chs. 3-5.
(5) The generalized multiple regression model. Heteroskedasticity and
serial correlation. Text: ch. 6.
(6) Simultaneous equation models. Identification and estimation.Text :
ch.7.
(7) Time-series models and forecasting. Text : ch. 8, Part 3.
(8) Topics in microeconometrics. Text: chs. 9,10.
Requirements: Midterm, final exam, and occassional problem sets involving
analyzing small data sets on microcomputers. Several classes will be held
in the PC lab at Norlin Library.