Economics 510
Introductory Econometrics
Spring 2012
Professor: Mahmoud A. El-Gamal
Classes: TR 2:15--3:29 BKH 271
Office Hours: W 11-12, 1-2, or by appointment
TA: Chenjun Shang
Textbook: Greene, William H. Econometric Analysis (7th Edition), Prentice
Hall, 2011.
Tentative
syllabus:
- Week 1 -- Jan 10, 12: Review of
foundational concepts: probability spaces, integration,
expectations (Appendix B)
- Week 2 -- Jan 17, 19: Review of
conditional expectations (the Radon-Nikodym theorem; Appendix B)
- Week 3 -- Jan 24, 26: Review of
linear projections, linear algebra (Appendix A)
- Week 4 -- Jan 31, Feb 2: Least
Squares (Chs. 1-4)
- Week 5 -- Feb 7, 9: The classical
linear regression model (Chs. 4-5)
- Week 6 -- Feb 14, 16: Review of
hypothesis testing and statistical decisions, inference in
linear model (Appendix C, Ch. 5)
- Week 7 -- Feb 21, 23: Functional
form, nonlinarilty (Chs. 6-7)
- Spring Break -- Feb 28, March 1
- Week 8 -- Mar 6, 8: Endogeneity and
Instrumental Variables (IV, Ch. 8)
- Week 9 -- Mar 13, 15:
Genarlized Regression Model (GLS, Ch. 9)
- Week 10 -- Mar 20: System of
Equations (2SLS, etc., Ch. 10)
- Spring Recess -- Mar 22
- Week 11 -- Mar 27, 29: Numerical
and Simulation Methods (Appendix E, Ch 15)
- Week 12 -- Apr 3, 5: Extremum
Estimation, GMM (Chs 12-13)
- Week 13 -- Apr 10, 12: Extremum
Estimation, MLE (MLE, Ch 14)
- Week 14 -- Apr 17, 19: Serial
Correlation and Basic Stationary Time Series Analysis (Ch. 20)
Grading:
- Homeworks: 25%
- Midterm 1: 25%
- Midterm 2: 25%
- Final Exam: 25%
