ECON 611: Advanced
Econometrics, Term 1 20011/2012
Lecture Time and Place
Wednesdays 7:00-10:15pm, SOE/SOSS Seminar Room 4-4 (Room 4026)
Instructor
Liangjun SU
ljsu@smu.edu.sg, Tel: 6828 0386
Office hours: Wednesdays
1:30-3:30am or by appointment, at SOE/SOSS Building #05-052
Teaching
Assistant:
Office hours: Fridays, 2:00-3:30pm at the SoE building, GSR 5-1
Email:
yj.dong.2010@phdecons.smu.edu.sg
Textbooks
Required
Econometrics, by Fumio Hayashi,
Supplementary Books
Econometric Analysis of Cross Section and Panel
Data, by Jeffrey M.
Wooldridge, MIT Press, 2002
Econometric Analysis, by W. H. Greene, Prentice-Hall, 2006.
Nonparametric Econometrics, by Adrian Pagan and
Econometrics, draft graduate textbook, by Bruce Hansen, available from
the author’s website at
http://www.ssc.wisc.edu/~bhansen/econometrics/
Statistical software
Knowledge in Eviews or Stata is
required. Toward the end of the semester, I will also provide some Matlab codes. For SMU faculty or
students to access Eviews,Stata,and Matlab, please refer to the
installation guides through the SMU network at
\\fs21\Applications\PC_Software_Image\Student\EViews7
\\fs21\Applications\Applications\Research-Software\SOE11-12\Stata12
(NEW on 31/08/2011).
\\fs21\Applications\Applications\Research-Software\SOE11-12\StatTransfer
(NEW on 31/08/2011).
\\Fs01\applications\applications\Research-Software\Matlab
For instructions on how to install Eviews 7 in your own computer,
please click here.
For instructions on how to install Stata 12 in your own computer,
please click here.
For instructions on how to install Stata/Transfer 11 in your own
computer, please click here.
For instructions on how to install Matlab in your own computer,
please click here.
For a brief introduction to Stata, please click here.
If you have any questions regarding the installation of the above
software, please contact our systems engineer
Lecture Notes
0. Brief review of matrix algebra (posted
on 5/08/2011, self-study)
1. General
regression analysis (posted on 5/08/2011)
2. Classical
linear regression models (posted on 5/08/2011)
3. Large sample
theory for linear regression models (posted on 21/08/2011)
4. Linear
regressions with time series data (posted on 1/09/2011)
5. Additional
topics in regression analysis (posted on 14/09/2011)
6. Instrumental
variable (IV) estimation (posted on 22/09/2011)
7.
Generalized Method of Moments (GMM) estimation (posted
on 28/09/2011)
8.
Introduction
to panel data models
9.
Introduction to nonparametric econometrics (posted
on 12/10/2011)
Homework and Solutions
|
Homework and post date |
Due Date |
Solutions |
|
HW1 (9 Aug, 2011) |
31 Aug, 2011 |
|
|
HW2 (24 Aug, 2011), nerlove.xls |
14 Sep, 2011 |
|
|
HW3 (24 Aug, 2011), prminwage.xls |
5 Oct, 2011 |
|
|
2 Nov, 2011 |
||
|
HW5 (2 Nov, 2011), Business03.xls |
Not to turn in |
|
|
|
|
|
For a
brief introduction to Matlab, click here.
Click here for some basic Matlab codes
used in class.
Fall 2007 Final Exam: Solutions
Announcements
1. Makeup class for the Deepavali public holiday
There is no class on 26 October, 2011, which is the Deepavali public holiday. The makeup class will be given in the recess week at the usual lecture time.
Time: 7:00-10:15pm on 5/10/2011 (Week 8, Wednesday).
Venue: SOE/SOSS Seminar Room 4-4
2. Notes on the forthcoming final exam on 23 November
2011 (posted on 7 November 2011)
(1) The final exam is a closed-book exam, lasting for 3
hours from 7:00-10:00pm on 23 November 2011 in the classroom.
(2) No textbook,
computer, or other electronic device is allowed during the exam. We will provide you some scratch paper during the
exam.
(3) You are going to have 5-6 questions for the final exam. They are all like typical
questions in the homework assignments and previous final exam.
(4) To help you prepare for the final exam, I will hold
extra office hours from 9:30-11:00am and
from 3:30-5:00pm on 22 Nov 2011 (Tuesday). You can also email me to ask any
questions regarding the final exam.
Last updated 7 November 2011