Topics
in Econometrics
Prof.
Burak Saltoglu
Aim:
This course has two main aims:
Required
background: Students intending to take this course should have completed basic
econometric and statistical courses. The textbooks that are expected to be
completed are Gujarati's Basic Eonometrics (1995) and Maddala's Introduction
to Econometrics (1996).
Main textbook: Johnston and DiNardo (1997), Econometric Methods,
Mc Graw Hill.
Advanced:
Davidson R and D McKinnon, Econometrics, 1994, Cambridge University Press.
Or
W, Greene (2000)
Lecturing: There
will be 3 hours of lectures for each topic. There will be weekly assignments
and every two weeks some assignments will be solved by an Research Assistant.
Students are expected to complete weekly assignments and run some
simulation and complete computer assignemnts.
Grading: Midterm
(30%)
Final (55%)
Assignments and class performance: (15%)
Topics to be covered
Week
1 Statistical and Mathematical Revision (Chapters 1) Johnston and
Dinardo (1997)
Week 2 Classical Linear Regression: (Chapters
3) Greene
Week 3 Hypothesis Testing (Chapter 4) Greene
Week 4 Departures from OLS (Chapter 6)Johnston and
Dinardo (1997)
Week 5 Theory of Maximum Likelihood Estimation (chapter
5)Johnston and Dinardo (1997)
Midterm
Week 7 Simultaneous Equations
System(Chapter 9)Johston and Dinardo (1997)
Week 8 Introduction to Generalised
Method of Moments (GMM) (chapter 10 Johnston and Dinardo (1997)and Hamilton)
Week 9 Nonlinear Regression (Chapter
10) Greene
Week 10 Introduction
to asymptotic theory (chapter 9) Greene, Hamilton (1994)
Week 11 Bootstrapping
and Monte Carlo methods (Efron and Tibshirani (1994))
Final
Download
Lecture Notes
Assignments