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 | |