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Problem Set 5

This document outlines the syllabus for an econometrics course taught in the fall of 2018. The course will cover topics such as the classical linear regression model, statistical properties of estimators, generalized regression models, instrumental variables estimation, and maximum likelihood estimation. It will involve lectures, computer lab sessions using STATA software, problem sets, exams, and lab exercises. Grades will be based on midterm exams, a final exam, problem sets, and lab exercises. Required materials include an econometrics textbook and access to course materials and data sets on Canvas.

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Luis Ceballos
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Download as PDF, TXT or read online on Scribd
82 views

Problem Set 5

This document outlines the syllabus for an econometrics course taught in the fall of 2018. The course will cover topics such as the classical linear regression model, statistical properties of estimators, generalized regression models, instrumental variables estimation, and maximum likelihood estimation. It will involve lectures, computer lab sessions using STATA software, problem sets, exams, and lab exercises. Grades will be based on midterm exams, a final exam, problem sets, and lab exercises. Required materials include an econometrics textbook and access to course materials and data sets on Canvas.

Uploaded by

Luis Ceballos
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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AEREC 510: ECONOMETRICS I

Fall 2018

Monday & Wednesday Friday (Comp. Lab)


202 Ferguson 105 Ferguson
10:10 - 11:00 am 10:10 - 11:00 am

Instructor

Edward (Ted) Jaenicke


Assoc. Prof. of Agricultural Economics
208C Armsby Building
phone: 865-5282
email: [email protected]

Office Hours: Monday and Thursdays, 3:00 to 4:00pm, by appointment

Introduction:

Econometrics is concerned with using aspects of economic theory, mathematics and


statistical inference to analyze economic phenomena and relationships. This course
approaches econometrics with three broad considerations:

1. The role of econometrics in theoretical and applied economics


2. The theoretical basis of econometrics
3. The applied use of econometrics.

The course will involve lectures on Mondays, Wednesdays and Fridays. Friday’s session
will be held in a computer lab where students can participate in hands-on implementation
of the lecture material using STATA econometric software.

Prerequisites: Multivariate calculus, matrix algebra, introduction to probability theory,


statistical inference, and an introduction to the multiple linear regression model.

(If needed, a review session for Matrix Algebra can be held outside of class time early in
the semester at a time convenient to all.)

Course Requirements: Grades for the course will be based on:

• Three Midterm examinations 36% total (12% each)


• Final exam 24%
• Problem sets (4 total) 25% total (6.25% each)
• In-class lab exercises (12 total) 15% total
100%

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Course Materials and Resources:

• The required text for the course is Greene , W., Econometric Analysis, 7th Edition,
Prentice Hall, 2011.
o The most recent edition is the 8th, but any edition should be okay. Section
headings below are for the 7th edition.
• Other useful texts:
o Hayashi, F., Econometrics, Princeton Univ. Press, 2000. (similar level as
Greene and very readable.)
o Intriligator, M.D., R.G. Bodkin, and C. Hsiao, Econometric Models,
Techniques, and Applications, 2nd ed., Prentice Hall, 1996. (lower level
than Greene and very readable)
• Class materials (lecture notes, lab assignments, problem sets, etc.) will be on
Canvas
• Hand-written problem sets can be submitted by hand; electronic version can be
emailed.
• Completed lab “log” files should be submitted via Canvas by Monday, 11:15pm,
following Friday’s lab.

Math Stats

• I will not cover math stats except for a one-week review. However, I will post
four weeks of lecture notes from past years’ classes. Recommended but not
required is Hogg, R.V., McKean, and J.W.Craig, A., Introduction to
Mathematical Statistics, 7th Edition, Prentice Hall Publishers.

Software: On Friday’s we will meet in a computer lab. Data sets and in-class labs
will be conducted using STATA econometric software. The data sets used for the
examples will be available on the Canvas course website.

Academic Integrity:

Academic dishonesty includes, but is not limited to: cheating, plagiarizing,


fabricating of information or citations, facilitating academic dishonesty by others,
having unauthorized possession of examinations, submitting work of another person
or work previously used without informing the instructor, or tampering with the
academic work of others. Sanctions imposed for acts of academic dishonesty can
include receiving an “F” for the assignment, course, or even expulsion from the
University. All course participants are expected to adhere to the University’s
Academic Integrity Policy http://www.psu.edu/ufs/policies/47-00.html#49-20. In
addition, the instructor will complete a College of Agricultural Sciences Academic
Integrity Form and file it with the Associate Dean for Undergraduate Education.

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AEREC 510 Econometrics I: Course Outline (subject to change)

0. Review of Math Stats (One week only!)

Pdfs, Cdfs, 10 “expectation results, 10 distribution results


Hogg, McKean & Craig 1.5 – 1.9; 2.1-2.6, 2.8; 3.3 – 3.6; 5.3; 6.1 – 6.3.

I. The Classical Linear Regression Model: Specification & Computation


A. The classical linear regression model and its functional form
a. The linear regression model [Greene 2.2]
b. Six assumptions of the linear model [Greene 2.3]
B. Least squares [Greene Ch. 3]
a. Least squares regression [Greene 3.1-3.2]
b. Partitioned regression and the Frisch-Waugh theorem [Greene 3.3]
C. Evaluating the fit of the regression, R2, Adjusted R2 [Greene 3.5 – 3.6]
D. Least squares with restrictions [Greene 5.3 and 5.5.1]

(In-class Exam #1)

II. The Classical Linear Regression Model: Statistical Properties and Building
Models

A. Statistical properties of the least squares estimator in finite samples [Greene 4.1-
4.5]
a. Motivating least squares [Greene 4.2]
b. Finite sample properties of LS [Greene 4.3]
i. Expectation
ii. Omitted and superfluous variables
iii. Gauss-Markov theorem
iv. Variance of the least squares estimator
B. Estimating the variance of the least squares estimator
a. Conventional estimation [Greene 4.6]
b. Multicollinearity [Greene 4.8]
C. The Normality Assumption the Relationship to Maximum Likelihood Estimation
Greene 4.4.6]
D. Large Sample Properties of the LS Estimator [Greene 4.4]
i. Consistency
ii. Assymptotic Normality of b
iii. Consistency of s2
E. Confidence Intervals [Greene 4.5]
F. Data Problems – Multicolinearity [Greene 4.7.1]
G. Hypothesis Tests [Greene 5.2, 5.4, 5.5]
H. Binary Variables [Greene 6.2]
I. Testing a Structural Break [Greene 6.4]

(In-class Exam #2)

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III. Generalized Regression Model

A. Nonspherical disturbances [Greene 9.1 and 9.2]


B. Implications For LS and Feasible Generalized Least Squares [Greene 9.3]
C. Heteroscedasticity [Greene 9.4]
a. Testing for Heteroscedasticity [Greene 9.5]
b. Weighted Least Squares and Applications [Greene 9.6 and 9.7]
D. First-Order Serial Correlation and Tests [Greene 20.1, 20.3, 20.5, 20.7-
20.9]

IV. Instrumental Variables Estimation

A. Intro and model assumptions [Greene 12.1 and 12.2]


B. Estimation
a. IV estimator [Greene 12.3.2]
b. Two-stage least squares [Greene 12.3.3]
c. Statistical tests [Greene 12.4 and 12.9]

(Take-home Exam #3)

V. Maximum Likelihood Estimation and Discrete-Choice Models

A. Point Estimation with MLE [Greene 16.2 and 16.3]


B. Properties of MLE [Greene 16.4]
C. Conditional likelihoods for econometric models [Greene 16.5]
D. MLE for binary choice models – Probit and Logit [Greene 23.1-23.4]
E. Multinomial, Conditional, and Mixed Logit for Unordered Multiple Choices
[Greene 23.11]

(Final Exam – heavily weighted to parts IV and V)

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