k e m a l <> b a d u r :: ECON 8204 Applied Econometrics

k e m a l b a d u r

ECON 8204

Applied Econometrics I

Fall 1998

John Geweke

Course Content

  1. Basic Concepts in Univariate Distribution Theory
  2. Basic Concepts in Multivariate Distribution Theory
  3. Some Special Distributions
  4. Distributions of Functions of Random Variables and the Normal Family
  5. Finite Sampling Theory
  6. Asymptotic Sampling and Distribution Theory
  7. Likelihood Principle and Sufficiency
  8. Linear Model: Frequentist Point Estimation
  9. Normal Linear Model: Frequentist Hypothesis Testing of Exact Restrictions
  10. More on Hypothesis Testing
  11. Normal Linear Model: Frequentist Confidence Regions
  12. Frequentist Principles of Point Estimation: Maximum Likelihood
  13. Frequentist Principles of Point Estimation: Generalized Method of Moments
  14. Multicollinearity and Dummy Variables
  15. Linear Model: Asymptotic Theory
  16. Nonlinear Regression Models
  17. General Linear Model: Heteroscedasticity and Autocorrelation
  18. General Linear Model: Asymptotic Theory
  19. Systems of Equations

 

Material Available:

Lecture Notes (799 k) Covers most of the material above, and includes an appendix on linear algebra
Problem Set I (208 k) Probability spaces, expectations, testing.
Problem Set IV (331 k) Constructing likelihood functions, some applications
Application I (257 k) Returns to scale in the electricity industry (Click here for the associated programs,data etc.)
Application II (311 k) Analyzing determinants of wages and measuring wage discrimination (Click here for the associated programs,data etc.)

Related Links

John Geweke Prof. Geweke has a ton of useful stuff in his homepage, including links and material for BACC, a software program for Bayesian econometrics he is developing, and some extensive lecture and research material.

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