Stern School of Business

ECON-GB30.3351.01: Econometrics I

Class Notes

Professor W. Greene
Department of Economics
Office:MEC 7-78, Ph. 998-0876, Fax. 995-4218
e-mail:wgreene@stern.nyu.edu
WWW: http://stern.nyu.edu/~wgreene

prev0.gifReturn to course home page.

Abstract: This is an intermediate level, Ph.D. course in Applied Econometrics. Topics to be studied include specification, estimation, and inference in the context of models that include then extend beyond the standard linear multiple regression framework. After a review of the linear model, we will develop the asymptotic distribution theory necessary for analysis of generalized linear and nonlinear models. We will then turn to instrumental variables, maximum likelihood, generalized method of moments (GMM), and two step estimation methods. Inference techniques used in the linear regression framework such as t and F tests will be extended to include Wald, Lagrange multiplier and likelihood ratio and tests for nonnested hypotheses such as the Hausman specification test. Specific modelling frameworks will include the linear regression model and extensions to models for panel data, multiple equation models, and models for discrete choice.

Notes: The following list points to the class discussion notes for Econometrics I. These are Power Point Presentation files.


1. The Paradigm of Econometrics


2. Conditional Means and the Linear Regression Model


3. Linear Least Squares


4. Least Squares Algebra - Partial Regression and Partial Correlation


5. Regression Algebra and a Fit Measure; Restricted Least Squares


6. Finite Sample Properties of the Least Squares Estimator


7. Estimating the Variance of the Least Squares Estimator


8. Hypothesis Testing in the Linear Regression Model


9. Hypothesis Tests: Analytics and an Application


10. Prediction in the Classical Regression Model


11. Asymptotic Distribution Theory (Additional notes on asymptotic distribution theory)


12. Asymptotic Results for the Classical Regression Model


13. Instrumental Variables Estimation


14. The Generalized Regression Model


15. Applications of Feasible GLS (Two Step) Estimation


16. Some Linear Models for Panel Data


17. Nonlinear Regression Models


18. Maximum Likelihood Estimation


19. Applications of Maximum Likelihood Estimation and a Two Step Estimator


20. Sample Selection


21. Generalized Method of Moments - GMM Estimation


22. Non- and Semiparametric Approaches - Quantile Regression


23. Simulation Based Estimation


24. Bayesian Analysis


25. Time Series Data



 

prev0.gifReturn to course home page.