This course deals with estimation and inference using economic models and economic data. We will focus on the theoretical underpinnings of applied econometrics. Topics will include an introduction to mathematical statistics and inference, linear regression, an introduction to asymptotic theory and inference, maximum likelihood estimation, generalized least squares, simultaneous equations models, nonlinear models, the generalized method of moments, simulation-based methods of estimation and inference, and other topics if time permits.
Greene, W.H., Econometric Analysis (6th ed.) Pearson Prentice Hall.
Before the first class, you must read and be comfortable with the material in Appendix A (Matrix Algebra) of Greene. I will not review this material in class, but I will assume you know it.
Kennedy, P., Guide to Econometrics (6th ed.) MIT Press.
Lecture notes are provided on the course website about 1 week before the lecture. You are expected to read the notes in advance of lecture. I will not go through every line in the notes; rather I will point out key ideas, answer questions, and provide additional background.
Problem sets will be provided on the course website each Friday and will be due the next Friday. Their primary purpose is to help you keep up with the course material and to get ready for the exams. As such they are graded on a pass-fail basis and only account for 10% of your grade. This is big enough to motivate most students to keep up with the assignments, but small enough that the incentive to cheat is minimized. You are allowed and even encouraged to work together on problem sets. However, use of past answer keys (the problem set questions are recycled from previous years) is strictly prohibited.
The midterm exam will be held on [Friday February 12, Friday March 5, or Friday March 12] in class. It will account for 40% of your final grade. The final exam will be held on a date to be determined, is cumulative, and will account for 50% of your final grade. These weights are firm; please do not ask me to transfer weight from the midterm to final if you do poorly on the midterm.
Both exams will be based primarily on the lecture notes and assignments. The textbook are to be used as an additional source of background to help understand the lecture notes.
For each exam, you will be allowed to bring in one (A4 or 8.5 by 11) sheet of notes, with writing on both sides.
Brian Krauth
WMC 1664
Telephone: (778) 782-4438
Web: http://www.sfu.ca/~bkrauth/econ837/welcome.htm
Office Hours: Wednesday 2:30-3:20; Friday 9:30-10:20.