New: Homework 4

New: Homework 5

New: Homework 6 due 12/5

ECON 82100

Econometrics I

# Fall 2006

Instructor:

Tao Wang

Phone: 718-997-5445

E-mail: tao_wang@qc.edu

Office hours:, Tuesdays 3:00pm-4:00pm, and by appointment.

TA:    Yikai Wang (wangyk77@yahoo.com)

Location and Time:

Room

## Tuesdays, 5:00pm to 8:00pm

Prerequisites:

Competency in calculus and linear algebra.

Textbooks:

1. Econometrics by Fumio Hayashi, Princeton University Press.

2. Econometric Analysis by William H. Greene, 5th edition, Prentice Hall.

Homework Assignments                                       20%

Midterm Exam                                                    40%

Final Exam                                                                40%

Notes:

1)      There will be between 5 and 8 homework assignments throughout the semester. These will be handed out in class and answers will normally be due in class one week later. Late answers cannot be accepted.

2)      Collaboration in homework assignments is encouraged but for your own good please work out the details by yourself.

3)      The midterm exam is tentatively scheduled for October 24, 2004.

Tentative Course Outline: (G=Greene; H: Hayashi)

1.      Introduction and Review (G: Appendix A-B)

2.      Linear Statistical Models

a.      Least Squares Algebra (G: 2.1-2.2; H: 1.1)

b.      Classical Assumptions (G: 2.3; H: 1.1)

c.      Estimation and Inference (G: 3.2-3.5, 7.2; H: 1.2, 1.4)

d.      Finite Sample Properties (G: 4.3-4.8; H: 1.3)

e.      Large Sample Properties (G: 5.1-5.2; H: 2.1-2.4)

f.        Dummy Variables (G: 7.2)

g.      Multicollinearity (G: 4.9)

3.      Maximum Likelihood Estimation (G: 17.1-17.5 H: 1.5)

4.      Heteroskedasticy, Autocorrelation and GLS (G: 10.1-10.3, 11.1-11.2, 11.4, 11.5, 12.1-12.5; H: 1.6, 2.5-2.8, 2.10)

5.      Errors in Variables, Instrumental Variables and Specification Tests (G: 5.4-5.6)

6.      Generalized Method of Moments (GMM) (G: 18; H: 3.1-3.8)

a.      Reading: J. Wooldridge (2001),“Applications of Generalized Method of Moments Estimation” Journal of Economic Perspectives, vol. 15 (4), pp. 87-100.

7.      System of Equations