Dr. Buck's Graduate Classes (Econometrics I and II for MA and PhD Students)

Where the coursesbegin, develop, and end.

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.
  • Descriptive Statistics, Probability and Random Variables
  • Introduction to Probability and Statistics
  • Answer Key
  • Mathematical Expectation and Distributions*
  • Probability, Random Variables and Distributions
  • Answer Key
  • Functions of Random Variables*
  • Estimating Population Parameters*
  • Sampling and Estimation
  • Answer key (*.MCD)
  • Introduction to Testing Hypotheses*
  • Basic Problems in Statistical Inference*
  • Simple Regression: I
  • Simple Regression: II
  • Introduction to ANOVA, OLS, and Hypothesis Testing or a self-extracting archive with the problem set, data, and *.MCD to read the data
  • Answer Key
  • Introduction to Linear Algebra*
  • More Difficult Linear Algebra
  • Ordinary Least Squares Geometry and Computations
  • Answer Key
  • Multiple Regression, or get the self extracting file with the data
  • Answer Key
  • Hypothesis Testing in Multiple Regression or get the self extracting file with the data
  • Answer Key
  • What's so bad about multicollinearity?*
  • Was Bread Giffin?
  • Problems in Heteroscedasticity and Autocorrelation or get the self extracting file.  
  • Answer Key
  • Correcting for Heteroscedasticity
  • Correcting for Autocorrelation *
  • An Application: Almon Lags*

Economics 616 (Econometrics II)Syllabus

• 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
    

Data Sets for Homework Assignments in Econ 615 and Econ 616

• 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
• Data for ANOVA, OLS, and Hypothesis Testing problem set:  CAPM.TXT
• Data for Multiple Regression: CHOW.txt
• Data for Hypothesis Testing in Multiple Regression: klem.txt
• Data (ukelec.txt and BRD.txt) for Problems in Heteroscedasticity and Autocorrelation