Economics 510
Introductory Econometrics

Spring 2008

Professor: Mahmoud A. El-Gamal

Classes: TR 10:30-11:45 BB 271

Office Hours: TR 2:30-3:30 or by appointment

Textbook: R. Davidson and J. McKinnon, Econometric Theory and Methods, NY: Oxford University Press, 2004.

Tentative syllabus:

• Week 1: Review of foundational concepts: probability spaces, integration, expectations
• Week 2: Understanding conditional expectations (the Radon-Nikodym theorem)
• Weeks 3,4: Understanding linear projections, linear algebra
• Week 5: The classical linear regression model
• Week 6: Review of hypothesis testing and statistical decisions, inference in linear model
• Weeks 7,8: Generalized Least Squares (GLS), Instrumental Variables (IV)
  
• Week 9: Nonlinear regression
• Week 10: Extremum estimation asymptotics
• Week 11: Numerical methods
• Weeks 12,13: Generalized Method of Moments (GMM)
  
• Weeks 14,15: Empirical Likelihood (EL)
  

Grading:

• Homework 1: 30%
• Homework 2: 30%
• Final Exam: 40%