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ECON 5350 ADVANCED ECONOMETRIC THEORY II
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Class Materials
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Exams
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Syllabus
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Practice Midterm Exam
-- Solutions |
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Data
for Gauss Intro, Problem Sets and Classroom Examples
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Midterm Exam
--
Solutions
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Research
Project
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Question?
Email the Professor
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Problem Sets and Solutions
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Links to Other Econometric Sites of
Interest
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Problem
Set #1 -- Solutions
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GAUSS Home Page
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Problem Set
#2 -- Solutions |
GAUSS
Source Code Archive at American U.
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Problem Set #3 --
Solutions
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GAUSS
Programming
for Econometricians
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Problem Set #4 --
Solutions
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Econometric
Resources on the Internet
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Federal
Reserve Economic Database (FRED2)
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Gauss Codes for Classroom Examples
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Lecture Notes
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Example 10.1
Generalized Regression Model |
Chapter 10. Nonshperical Disturbances |
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Example
11.1. White's Heteroscedasticity Estimator |
Chapter 11. Heteroscedasticity |
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Example
11.2. Testing for Heteroscedasticity |
Chapter
12. Serial Correlation |
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Example
11.3. Efficient Heteroscedasticity Estimation |
Chapter 13.
Panel Data |
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Example
12.1. Testing for Autocorrelation |
Chapter 14. Systems of Regression Equations |
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Example
12.2. Efficient Estimation with Autocorrelated Errors |
Chapter 15. Simultaneous Equations |
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Example
13.1. Panel Data Estimation
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Chapters 16-18. Alternative Estimation Frameworks |
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Example
14.1. SUR Estimation |
Chapters 19-20. Time Series Models |
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Example 15.1
Simultaneous Equations Estimation |
Chapters 21-22. Limited and Qualitative Dependent Variable Models |
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Example 15.2
Simultaneous Equations Estimation |
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Example 16-18.1
Generalized Method of Moments Estimation |
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Example
19-20.1 Time Series Econometrics (RATS code) |
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