NB: Due dates of assignments might change. Check the
website regularly for up-to-date information.
Week
Monday - 10.30 to 11.50
Wednesday - 10.30 to 11.50
Solutions and
Statistics
Solution
Average
Max
1
2
3
4
5
6
7
8
9
10
11
12
13
Jan. 30
Feb. 6
Feb. 13
Feb. 20
Feb. 27
Mar. 5
Mar. 12
Mar. 19
Mar. 26
Apr. 2
Apr. 9
Apr. 16
Apr. 23
No
class
No
class (Spring break)
Review
session
Jan. 25
Feb. 1
Feb. 8
Feb. 15
Feb. 22
Feb. 29
Mar. 7
Mar. 14
Mar. 21
Mar. 28
Apr. 4
Apr. 11
Apr. 18
Apr. 25
1st class
Midterm exam
No
class (Spring break)
Final
exam - 10.30 to 12.30
* No course notes will be provided.
* Material is based on the required book: F. Hayashi.,
Econometrics
- I recommend that you solve all the
exercises in this book.
Online resources for the book are available from the website http://fhayashi.fc2web.com/hayashi_econometrics.htm.
* Some books have been reserved at the library.
Detailed overview:
- PART 1: Linear
regression model
(Ref. Hayashi 1,2,3)
1.Basic assumptions (Linearity, exogeneity,
no multicollinearity)
2.Geometric and statistical interpretations
of least squares (Frish-Waugh
theorem; Statistical interpretation; Geometric
interpretation in the space of random variables)
3.Large sample theory of least squares
estimators (SLLN; MSLLN; Consistent
estimators; Asymptotic
probability distribution)
4.Asymptotic tests (Wald
tests;Restricted least
squares under a linear hypothesis;Testing for
conditional homoskedasticity)
-
PART 2: Dynamic regression models and Single-equation GMM
(Ref. Hayashi 2.2, 3, 7.1 to 7.3)
1.General formulation (Need
for ergodic stationarity; Need for
martingale difference sequences; GMM
orthogonality condition; Simultaneity
issues and relevant instruments; Identification)