ECON 631Econometrics II
Fall 2001
Dr. Walt Mayer
Course Description
Advanced econometric methods and applications, including maximum likelihood, specification tests, nonlinear least squares, time-series models, simultaneous equations, and limited dependent variable models. We will also cover computer applications of SAS and LIMDEP.
Objective
The objective is to give students a working knowledge of the theory and application of econometrics
Text
Econometric Analysis, 4th edition, Greene (1999).
Grades
1 midterm: 30%Project
I expect a well written paper of about 12 pages. The project must be approved in advance. You must submit for approval a short written proposal.
The objective is to analyze data using techniques covered in this course. One possibility would be to redo an existing study using different data. Your paper must include a clear statement of the hypotheses to be tested and your maintained assumptions, a thorough interpretation of the results, and complete references.
Proposal due: end of September. Project due: last day of class.
Course Outline and Readings
Classical Linear Regression
Reading: chapters 6-9
Nonlinear Regression
Reading: chapter 10
Nonspherical Disturbances and Panel Data
Reading: chapters 11-14
Midterm in early October
Systems of Equations
Reading: chapters 15-16
Lagged Variables and Time-Series Models
Chapters 17-18
Discrete and Limited Dependent Variable Models
Chapters 19-20
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