|
ECON 5360 ADVANCED ECONOMETRIC THEORY II
|
|
|
|
|
Class Materials
|
Exams
|
|
Syllabus
|
Practice Midterm Exam
1 --
Solutions |
|
Data
for Gauss Intro, Problem Sets and Classroom Examples
|
Practice Midterm Exam
2 --
Solutions |
|
Research
Project
|
Midterm Exam
--
Solutions
|
|
Question?
Email the Professor
|
|
|
|
|
Problem Sets and Solutions
|
Links to Other Econometric Sites of
Interest
|
|
Problem
Set #1 -- Solutions
|
GAUSS Home Page
|
|
Problem Set
#2 -- Solutions |
GAUSS
Source Code Archive at American U.
|
|
Problem Set #3 --
Solutions
|
GAUSS
Programming
for Econometricians
|
|
Problem Set #4 --
Solutions
|
Econometric
Resources on the Internet
|
|
|
Federal
Reserve Economic Database (FRED2)
|
|
|
|
|
Gauss Codes for Classroom Examples
|
Lecture Notes
|
|
|
Chapter
9. Nonlinear Regression Models |
|
|
Chapter 10. Nonshperical Disturbances |
|
Example 10.1
Generalized Regression Model |
Chapter 11. Heteroscedasticity |
|
Example
11.1. White's Heteroscedasticity Estimator |
Chapter
12. Serial Correlation |
|
Example
11.2. Testing for Heteroscedasticity |
Chapter 13.
Panel Data |
|
Example
11.3. Efficient Heteroscedasticity Estimation |
Chapter 14. Systems of Regression Equations |
|
Example
12.1. Testing for Autocorrelation |
Chapter 15. Simultaneous Equations |
|
Example
12.2. Efficient Estimation with Autocorrelated Errors |
Chapters 16-18. Alternative Estimation Frameworks |
|
Example
13.1. Panel Data Estimation
|
Chapters 19-20. Time Series Models |
|
Example
14.1. SUR Estimation |
Chapters 21-22. Limited and Qualitative Dependent Variable Models |
|
Example 15.1
Simultaneous Equations Estimation |
|
|
Example 15.2
Simultaneous Equations Estimation |
|
|
Example 16-18.1
Generalized Method of Moments Estimation |
|
|
Example
19-20.1 Time Series Econometrics (RATS code) |
|
|
|
|