ECON 631—Econometrics II

Fall 2001

Dr. Walt Mayer
Holman 342
915-5980
wmayer@bus.olemiss.edu
Office hours: MWF 3-4:30pm and by appointment.

 

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%
Final: 30%
Project: 30%
Homework: 10%
 

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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