Web Site for
Advanced Econometrics I (undergraduate) &
Econometircs I (graduate) of 2013SY
Providing information of the class through this WEB pgae.
Students who take this class are expected to browse reguraly.
Course Plan (at 8/1)
The day represented bold letter shows finished contents, and the day represented normal letter shows planned contents.
| # | dates | contents of the class | corresponding pages in the textbook |
other | assignment |
| 1 | April 10 |
Attention for the students §0. Introduction 0.1 What is econometics 0.2 The structure of this class |
[Additonal reference] Handout#01 (PDF file) |
NONE | |
| 2 | April 17 | §1. Foundation of set theory 1.1 Basic concept of sets 1.2 Sequence of sets 1.3 Family of sets §2. Probability and probability space 2.1 Probability and probability space |
Chap 1.2 (pp. 3-10) Chap 1.3 (pp.10-20) |
[Additonal reference] HandOut#02 (PDF file) |
#01(PDF file) |
| 3 | April 24 | 2.1 Probability and probability space (cont'd) 2.2 Conditonal probability 2.3 Independence of events |
Chap 1.4 (pp.21-32) |
HandOut#03 (PDF file) |
#02(PDF file) |
| May 1 | Cancel the class because of Icho-Festival | ||||
| 4 | May 8 | §3. Random varibalbes 3.1 What are random variables. 3.2 Distribution function 3.3 Joint distribution function |
Chap 1.5-1.7 (pp.32-52) Chap 2.1 (pp.73-78) |
HandOut#04 (PDF file) |
#03(PDF file) |
| 5 | May 15 | 3.4 Conditional distribution function 3.5 Transformations of random variables |
Chap 2.2-2.3 (pp.84-97) |
HandOut#05 (PDF file) |
[Correction of Assignment #04] #04(PDF file) corrected ed. Answer #01(PDF) Answer #02(PDF) |
| 6 | May 22 | §4. Mathematical expectations 4.1 Idea of expectations 4.2 Various expectations 4.3 Expectations of random vectors |
Chap 1.8-1.9 (pp.52-67) |
HandOut#06 (PDF file) |
#05(PDF file) Answer #03(PDF) |
| 7 | May 29 | 4.4 Inequalities concerning expectations 4.5 Conditional expectations 4.6 Characteristic functions |
Chap 1.10 (pp.68-72) Chap 2.3 (pp.95-102) |
[Additional reference] HandOut#07 (PDF file) |
[Date for Mid-term Exam] #06(PDF file) Answer #04(PDF) |
| 8 | June 5 | §5. Stochastic distributions 5.1 Discrete distributions |
Chap. 3.1-3.2 (pp.139-155) |
HandOut#08 (PDF file) |
#07(PDF file) Answer #05(PDF) Answer #06(PDF) |
| 9 | June 12 | 5.2 Continuous distributions | Chap 3.3 (pp.156-159, 161-163) Chap 3.4 (pp.168-174) |
HandOut#09 (PDF file) (corrected) |
#08(PDF file) Answer #07(PDF) |
| 10 | June 19 | Mid-term Exam | [Coverage of topics in the Mid-term Exam] | Answer of Mid-tem Exam (PDF) (corrected) |
|
| 11 | June 26 | 5.2 Continuous distributions (continued) | Chap 3.5 (pp.178-185) Chap 3.3 (pp.159-161) Chap 3.6 (pp.189-195) |
HandOut#11 (PDF file) |
#09(PDF file) Answer #08(PDF) |
| 12 | July 3 | §6. The law of large numbers and the central limt theorem 6.1 Convergence of functional sequences 6.2 The concept of stochastic convergence 6.3 Order of magnitude in random sequences |
Chap 5.1 (pp.289-293) Chap 5.2 (pp.294-301) |
[Additonal reference] HandOut#12 (PDF file) |
#10(PDF file) Answer #09(PDF) |
| 13 | July 10 | 6.4 The law of large numbers 6.5 The central limet theorem |
Chap 5.3 (pp.307-313) |
[Additional reference] HandOut#13 （PDF file) |
#11(PDF file) Answer #10(PDF) |
| 14 | July 17 | 6.6 The derivation of the LLNs and the CLTs by Characteristic Functions §7. Markov chain 7.1 Basics of Markov chain 7.2 Properties of Markov chain |
[Correction of HandOut #09] HnadOut#13 (PDF file) |
#12(PDF file) Answer #11(PDF) Answer #12(PDF) |
|
| 15 | July 24 | Final Exam | [TA session on the commentary of the Final Exam] |
Supplementary notes, etc.
[Addtional reference]
The article on the emergence of econometrics which I introduced in the
class is
Frish, R. (1933),
"Editor's Note," Econometrica, Vol.1 (1), pp.1-4.
In addition,
Roos, C.F. (1933), "Constitution of the
Econometric Society," Econometrica, Vol. 1 (1), pp.
106-108.
Christ, C.F. (1953), "History of the Cowles Commission 1932-1952," in Cowles Commission for Research
in Economics eds.,
Economic theory and measurement; a twenty year research report,
1932-1952,
U. of Chicago. (available from http://cowles.econ.yale.edu/P/reports/1932-52.htm )
are also existed.
On the relation among philosopy of science, economics, and econometrics,
please read
Chap.6 "Progress in Economics" of
Dow,
S.C. (2002), Economic Methodology: an inquiry, Oxford U.P. ,
for example.
For the history of econometics,
Morgan, M.S. (1990),
The history of econometric ideas, Cambridge U. P.
is higly recomended.
[Additional reference]
The following books would be helpful for reviewing Today's class.
Chapter 1 of Davidson, J. (1994) Stochastic Limit Theory, Oxford Univ. Press.
Chapter 1 and 2 of Jacod, J. and Protter, P. (2004) Probability Essentials, Springer.
Chapter 1 of Bierens, H.J. (2004) Introduction to the Mathematical and Statistical Foundations
of Econometrics, Cambridge Univ. Press.
[Correction of Assignment #04]
A student who takes the class has pointed that there is an incomplete
questions in the Assignment #04.
The downloadable pdf file has already been corrected.
If you have the old file, please correct the Q1 as follows;
“Suppose X and Y are random variables …”
should be
“Suppose X and Y are mutually independent random variables …”
For this correction, the due date and the place for submission should
be changed as follows;
Original: At the end of the class, May 22, 2013. Submit at the classroom
Changed: 17:00 of May 24, 2013. Submit at Office of the Educational Affairs.
[Additional reference]
The following books would be helpful for reviewing Today's class.
Chapter 9, 10, and 11 of Davidson, J. (1994) Stochastic Limit Theory, Oxford Univ. Press.
Chapter 13, 14, 23 and 28 of Jacod, J. and Protter, P. (2004) Probability Essentials, Springer.
Chapter 3 of Bierens, H.J. (2004) Introduction to the Mathematical and Statistical Foundations
of Econometrics, Cambridge Univ. Press.
[Date for Mid-term Exam]
The Mid-term Exam will be held at June 19, 2013.
Students who want to have credit of this class should come to the classroom
unitl 1:10pm.
The Exam will be hold at 1:15pm - 2:25pm (70min).
[Coverage of topics in the Mid-term Exam]
In the Mid-term Exam, possible questions will be covered topics which
are taught up to #07.
In particular, topics which are taught from #04 to #07 are put much weight.
[Additional reference]
The following books would be helpful for reviewing Today's class.
Chapter 18 and 19 of Davidson, J. (1994) Stochastic Limit Theory, Oxford Univ. Press.
Chapter 17 and 18 of Jacod, J. and Protter, P. (2004) Probability Essentials, Springer.
Chapter 6 of Bierens, H.J. (2004) Introduction to the Mathematical and Statistical Foundations
of Econometrics, Cambridge Univ. Press
[Additional reference]
The following books would be helpful for reviewing Today's class.
Chapter 14, 20, and 23 of Davidson, J. (1994) Stochastic Limit Theory, Oxford Univ. Press.
Chapter 19 and 20 of Jacod, J. and Protter, P. (2004) Probability Essentials, Springer.
Chapter 6 (6.6 & 6.7) and 7 of Bierens, H.J. (2004) Introduction to the Mathematical and Statistical Foundations
of Econometrics, Cambridge Univ. Press
[Correction of HandOut#09]
A student who takes the class has pointed that there are typos in the
HandOut#09.
The downloadable pdf file has already been corrected.
Please replace the page 7 of old version by the page 7 of corrected version.
(PDF file)
[TA session on the commentary of the Final Exam]
Extra TA session (by Mr. Kinoshita) will offer the commentary of the
Final Exam.
The TA session will be held at 13:00-14:30, August 8, 2013 (Lecture room
#4).