ECON 5350 ADVANCED ECONOMETRIC THEORY I

 

 

Class Materials & Econometric Websites

 Lecture Notes (Zoom Recordings in WyoCourses)

Syllabus

Math Review

MATLAB Home Page

Review of Probability and Distribution Theory

An Introduction to MATLAB for Econometrics (by John Frain)

Review of Statistical Inference

Federal Reserve Economic Database (FRED2) 

The Linear Regression Model

Textbook Datasets

Least Squares

Statistical Properties of the Least Squares Estimator

Hypothesis Testing and Prediction

MATLAB Codes

Dummy Variables and Functional Forms

Example 1. Verifying Area Under a PDF

Nonlinear Regression Models

Example 2. Graphing Cauchy and Standard Normal PDFs

The Generalized Regression Model

Example 3. Binomial Distribution and Number of Wins

Model Misspecification & Data Problems

Example 4. Graphing a Joint and Marginal PDF

Maximum Likelihood & GMM

Example 5. Bivariate Normal Density Function

 

Example 6. Sampling Distribution for a Mean

 

Example 7. Sampling Distribution for Estimator of Variance

Problem Sets

Example 8. Central Limit Theorem

Problem Set #1 – Data

Example 9. Asymptotic Exponential Sampling Distribution

Problem Set #2

Example 10. OLS Application – Data

Problem Set #3

Example 11. Earnings Regression:  Hypothesis Testing – Data

Problem Set #4

Example 12. Earnings Regression:  Dummy Variable Model

Problem Set #5

Example 13. Monte Carlo Experiment to Find Break Points

Problem Set #6

Example 14. Nonlinear Estimation of a Production Function – Data

Problem Set #7

Example 15. Monte Carlo Experiment for Generalized Regression Model

Problem Set #8

Example 16. Monte Carlo Experiment for Pretest Estimators

 

Example 17. Monte Carlo Experiment for Data Problems

 

Example 18. GMM & Hall’s Random Walk Hypothesis – GMM Function – Data

Exams

 

Practice Midterm Exam #1

 

Practice Midterm Exam #2

MATLAB Codes (Written in Class)

Practice Midterm Exam #3

Example 1. Monte Carlo Experiment for Classical Assumption E(ε|X)=0

Practice Midterm Exam #4 – Solutions

Example 2. Partial Regression Plot

Practice Midterm Exam #5

Example 3. Asymptotic Normality of OLS Estimator

Midterm Exam

Example 4. Calculating the Conditional Growth Rate of U.S. GDP – Data

Practice Final Exam #1

Example 5. Graphing the Gamma Distribution

Practice Final Exam #2

Example 6. CRS Hypothesis Testing in a Cobb-Douglas Production Function

Practice Final Exam #3

Example 7. Monte Carlo Experiment to Compare OLS & FGLS Estimators

Practice Final Exam #4

 

Final Exam

 

 

Student Presentations

 

Presentation #1:  Recursive Residuals (Slides; Matlab; Data)

 

Presentation #2:  Delta Method (Slides; Matlab; Data)

 

Presentation #3:  Bootstrapping (Slides; Matlab; Data)

 

Presentation #4:  Missing Data (Slides; Matlab; Data)