Econ 508
Econometrics Group
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Applied Econometrics
Econ 508 - Fall 2008

  Syllabus

Main Texts
Wooldridge, Jeffrey (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press.
Harvey, Andrew (1990), The Econometric Analysis of Time Series, Second Edition, MIT Press.
Johnston, Jack and John DiNardo (1997), Econometric Methods, Fourth Edition, McGraw Hill.
Lectures by Prof. Roger Koenker
Week Date Topic Readings*
1 Aug 30 Household Demand Models  DM. 2
2 Sep 6  Single Equation Dynamic Models H. 7-8
3 Sept 13 Model Selection JdN. 7.1 & H. 5
4 Sept 20 Delta Method and Bootstrap JdN. 11.3
5 Sept 27 Errors in Variables and IV's H. 2.11, W. 5,  JdN. 5.5
6 Oct 4 Simultaneous Equations W. 8-9, JdN. 5.5, H. 9
7 Oct 11 VARS, Causality & Cointegration D. 3, JdN. 8-9
8 Oct 18 ARCH and Stochastic Volatility JdN. 6.9, H. 6.9
9 Oct 25 Panel Data I W. 10, HT (1981), JdN. 12
10 Nov 1 Panel Data II W. 11
11 Nov 8 Binary Response & Count Data W. 15, W. 19, JdN. 13
12 Nov 15 Sample Selection & Censoring W. 16-17, JdN. 13
13 Nov 22 Survival Analysis Models W. 20
14 Nov 29 Quantile Regression Handout
15 Dec 6 Non-Parametric Regression JdN. 11.5

* Weeks are identified by the date on Tuesday each week. Readings indicate Section numbers in Harvey's Econometric Analysis of Time Series, Wooldrige's Econometric Analysis of Cross Section and Panel Data, and Johnston and DiNardo's Econometric Methods. DM refers to Deaton and Muellbauer (1980) Economics and Consumer Behavior, and D refers to Deaton (1992) Understanding Consumption. HT is Hausman and Taylor, "Panel Data and Unobserved Individual Effects," Econometrica, (1981) 1377-1398. 
 
 Last update: Aug 18, 2008