ECON 5350 ADVANCED ECONOMETRIC THEORY I

 

 

Class Materials & Econometric Websites

 Lecture Notes

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

Information about ‘Inclusive Access’

Statistical Properties of the Least Squares Estimator

Hypothesis Testing and Prediction

 

Dummy Variables and Functional Forms

 

Nonlinear Regression Models

 

The Generalized Regression Model

 

Maximum Likelihood & GMM

 

Model Misspecification & Data Problems

 

 

MATLAB Codes

Problem Sets

Example 1. Verifying Area Under a PDF

Problem Set #1

Example 2. Graphing Cauchy and Standard Normal PDFs

Problem Set #2

Example 3. Binomial Distribution and Number of Wins

Problem Set #3

Example 4. Graphing a Joint and Marginal PDF

Problem Set #4

Example 5. Bivariate Normal Density Function

Problem Set #5

Example 6. Sampling Distribution for a Mean

Problem Set #6

Example 7. Sampling Distribution for Estimator of Variance

Problem Set #7

Example 8. Central Limit Theorem

Problem Set #8

Example 9. Asymptotic Exponential Sampling Distribution

 

Example 10. OLS ApplicationData

 

Example 11. Earnings Regression:  Hypothesis TestingData

 

Example 12. Earnings Regression:  Dummy Variable Model

 

Example 13. Monte Carlo Experiment to Find Break Points

 

Example 14. Nonlinear Estimation of a Production FunctionData

 

Example 15. Monte Carlo Experiment for Generalized Regression Model

 

Example 16. Monte Carlo Experiment for Pretest Estimators

 

Example 17. Monte Carlo Experiment for Data Problems

 

Example 18. GMM & Hall’s Random Walk HypothesisGMM FunctionData

 

 

 

 

 

MATLAB Codes (Written in Class)

Exams

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

Practice Midterm Exam #1Solutions

Example 2. Partial Regression Plot

Practice Midterm Exam #2Solutions

Example 3. Asymptotic Normality of OLS Estimator

Practice Midterm Exam #3

Example 4. Calculating the Conditional Growth Rate of U.S. GDPData

Practice Midterm Exam #4

Example 5. Graphing the Gamma Distribution

Practice Midterm Exam #5

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

Practice Midterm Exam #6Solutions

 

Midterm Exam

 

Practice Final Exam #1Solutions

 

Practice Final Exam #2

Student Presentations

Practice Final Exam #3

Presentation #1:  Slides; Matlab; Data

Practice Final Exam #4

Presentation #2:  Slides; Matlab; Data

Practice Final Exam #5

Presentation #3:  Slides; Matlab; Data

Practice Final Exam #6

 

Final Exam