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
	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
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
Example 2. Partial Regression Plot	Practice Midterm Exam #5 – Solutions
Example 3. Asymptotic Normality of OLS Estimator	Midterm Exam – Solutions
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
	Practice Final Exam #5
	Final Exam
Student Presentations
Presentation #1: Missing Data (Slides; Matlab; Data)
Presentation #2: Delta Method (Slides; Matlab; Data)
Presentation #3: White’s Adjusted Standard Errors (Slides; Matlab; Data)