Econometrics, Part 1

Lecturer: Ron Smith
Classes: Giovanni Melina

Course Booklet revised August 2009

Data for Exercises notes

EViews Excercise notes

Class Schedule:
Class week 2   (08/10/09): Miscellaneous Problems and the Gauss-Markov theorem
Class week 3   (15/10/09): Maximum Likelihood Estimation
Class week 4   (22/10/09): More on the Linear Regression Model and GLS
Class week 5   (29/10/09): Hypothesis Testing
Reading week: no class on 05/11/09
Class week 6   (12/11/09): Diagnostic Testing
Class week 7   (19/11/09): Stochastic Processes
Class week 8   (26/11/09): Unit Root Tests
Class week 9   (03/12/09): ARDL Models
Class week 10 (10/12/09): Multivariate Stochastic Processes

Project guidance notes

For students interested in Stata:
Introduction to Stata: Shiller data as csv file
Introduction to Stata: Handout
Introduction to Stata: Stata do file

Optional Topic:
Price-Concentration Analysis in Differentiated Product Markets - an application of IV/2SLS methods