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Economics 615 (Econometrics I) Syllabus

• Homework Sets: The files marked by an asterisk will require that you include Adobe Acrobat Reader in your Options|General Preferences|Helpers.
  • Introduction to Probability and Statistics
  • Mathematical Expectation and Distributions*
  • Functions of Random Variables*
  • Estimating Population Parameters*
  • Introduction to Testing Hypotheses*
  • Basic Problems in Statistical Inference*
  • Simple Regression
  • Introduction to Linear Algebra*
  • More Difficult Linear Algebra
  • Ordinary Least Squares Geometry and Computations
    • Answer Key
  • What's so bad about multicollinearity?*
  • Was Bread Giffin?
  • Correcting for Heteroscedasticity
  • Correcting for Autocorrelation *
  • An Application: Almon Lags*

• Homework Sets
  • Introduction to LS Dummy Variables and Random Effects Models
  • Another Random Effects Example
    
  • Simultaneous Equations:A Small Macro Model
    
  • Working with AR, MA and ARMA Models
    
  • A Statistical Notion of Causality
    
  • Spurious Regression, Unit Roots and Cointegration
    

• LSDV and REM (You need all three): Qual1.dat, Qual2.dat , Qual3.dat
• Simultaneous equations: Macromod.dat
• Univariate Time Series (You need all three): AR_P1.DAT, MA_Q1.DAT,ARMA_PQ1.DAT
• Adventures in Causality: C&Ivar.dat
• Spurious Regression, Unit Roots and Cointegration: Y&NOND.dat
• Working with Almon Lags ALMON.DAT*
• Learning about serial correlation AUTOCORR.DAT*
• Correcting for heteroscedasticity HETERO.DAT*
• Data for another REM example:REMDATA.TXT
  
• Data for the multiple regression application: Nerlove
• Data for 'Was Bread Giffin': BreadMeat.dat