Web Site for
Advanced Econometrics I (undergraduate) &
Econometircs I (graduate) of 2017SY

Providing information of the class through this WEB pgae.
Students who take this class are expected to browse reguraly.

Course Plan (at 9/28)

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 12 1. Introduction
1.1 What is econometrics
1.2 The structure of this class
1.3 Quizzes for checking your knowledge on statistics		 NONE [Additional References]

HandOut#01
(PDF file)
(updated at 4/26)		 NONE
2 April 19 2. Linear Regression Models and the Ordinary Least Square (OLS)
2.1 Simple linear regression models
2.2 Matrix expression of the linear regression models		 Ch 2 (pp.52-64)
Ch 3.2 (pp.66-68)
Ch 3.5 (pp.79-81)		 HandOut#02
(PDF file)		 #02 (PDF file)

Solution of #02
(PDF file) (5/10)
3 April 26 3. Geometry of the OLS
3.1 The Geometry of linear regression
3.2 FWL theorem and its application		 Ch 3.2 (pp.71-72)
Ch 3.3 (pp.72-76)		 [Additional References]

HandOut#03
(PDF file)		 #03 (PDF file)

Solution of #03
(PDF file) (5/17)
May 3 National Holiday (Constitution Memorial Day)
 4 May 10 4. The Law of Large Numbers and the Central Limit Theorem
4.1 Convergence of Sequence of Functions
4.2 Concepts on Stochastic Convergence
4.3 Order of Magnitude in Random Sequences
4.4 The Law of Large Numbers
4.5 Central Limit Theorem		 Appendix D (pp.1107-1122) [Additional References]
[Note to HandOut#04]

HandOut#04
(PDF file) 
 #04 (PDF file)

Solution of #04
(PDF file) (5/26)
5 May 17 5. Statistical Properties of the OLS estimator
5.1 Desirable properties of 'good' estimators
5.2 Unbiasness
5.3 Consistency
5.4 Efficiency
5.5 Regression residuals
5.6 The distribution of the OLS estimator b and the distribution of a test statistic		 Ch 4.1 (pp.91-92)
Ch 4.3 (pp.94-103)
Ch 4.4 (pp.103-112)		 HandOut#05
(PDF file)		 #05 (PDF file)

Solution of #05
(PDF file) (5/31)
6 May 24 6. The OLS with Restriction and Other Topics
6.1 Tests of Several Restrictions
6.2 Restricted Least Squares
6.3 Misspecification of the Linear Regression Models
6.4 Prediction
6.5 Multi-colinearity		 Ch 5.3-5.5 (pp.152-165)
Ch 4.3 (pp.96-98)
Ch 4.6 (pp.120-121)		 [Additional References]

HandOut#06
(PDF file)		 #06 (PDF file)
Wait until 5/25

Solution of #06
(PDF file) (6/7)
7 May 31 7. The Generalized Least Squares: Overview
7.1 Problems to be considered
7.2 The Generalized Least Squares (GLS)
7.3 The distribution of the GLS estimator
7.4 Some important proofs
7.5 The feasible GLS
7.6 Heteroscedasticity of the disturbances		 Ch 9.1-9.2 (pp.297-302)
Ch 9.3 (pp.304-308)
Ch 9.6 (pp.317-320)		 [Coverage of the Mid-term exam]
[Note to HandOut#07]

HandOut#07
(PDF file)		 #07 (PDF file)

Solution of #07
(PDF file) (6/13)
8 June 7 7.7 Tests for hetroschedasticity
7.8 Calculation of the proper variance of the OLS estimator

8. The Generalized Least Squares: Application (1)
8.1 Autocorrelated Disturbances: Overview		 Ch 9.5 (pp.315-317)
Ch 9.4 (pp.312-314)
Ch 9.7 (pp.320-324)
Ch 20.2 (pp.947-948)
Ch 20.3 (pp.949-952)
Ch 20.4 (p.953)		 [Note to HandOut #08]
[Items which are allowed to place on the desk at the Mid-term exam]

HandOut#08
(PDF file)		 #08 (PDF file)
(6/13)

Solution of #08
(PDF file) (6/29)
9 June 14 Summary I (Mid-term exam)
10 June 21 8.2 The GLS estimation for AR(1) disturbances
8.3 A test for serially correlated disturbances

9. Analysis of Panel Data (The GLS: Application (2))
9.1 Models for panel data
9.2 Proposed models for effects		 Ch 20.7 (p.963)
Ch 20.9 (pp.966-969)
Ch 14.7 (pp.597-599)

Ch 11.2 (pp.384-389)
Ch 11.3 (pp.389-392)
 HandOut#10
(PDF file)		 NONE
11 June 28 9.3 Estimation of Fixed Effect Models
9.4 Estimation of Random Effect Models
9.5 The GLS Estimation of Random Effect Models
9.6 Attention to Estimating Random Effect Models
9.7 Seemingly Unrelated Regression: SUR		 Ch 11.3 (pp.397-398)
Ch 11.4 (pp.399-410)
Ch 11.5 (pp.410-420)
Ch 10.2
(pp.332-336)		 [Note to HandOut#11]

HandOut#11
(PDF file)
(corrected 7/12)		 #11 (PDF file)
(6/29)

Solution of #11
(PDF file) (7/12)
12 July 5 10. Instrumental Variables Estimation
10.1 The Problem that We Have to Care
10.2 Instrumental Variables Estimators
10.3 The Two-Stage Least Squares (the 2SLS)
10.4 Small Sample Properties of the IV Estimator
10.5 Hypothesis Tests		 Ch 8.1 (pp.259-262)
Ch 8.2 (pp.263-264)
Ch 8.3 (pp.265-273)
Ch 8.7 (pp.289-291)
Ch 8.4 (pp.273-279)		 HandOut#12
(PDF file)		 #12 (PDF file)

Solution of #12
(PDF file) (7/20)
13 July 12 11. Maximum Likelihood Estimation
11.1 Foundation of the Maximum Likelihood Method
11.2 The Distribution of the MLE
11.3 Asymptotic Efficiency of the MLE		 Ch 14.2 (pp.549-551)
Ch 14.3 (pp.551-553)
Ch 14.4 (pp.553-563)		 HandOut#13
(PDF file)		 #13 (PDF file)

Solution of #13
(PDF file) (7/26)
14 July 19 11.4 An Example of the ML estimation: Inference of p for the Bernoulli Distribution

12. Tests Based on the Likelihood Ratio
12.1 What is a "Good" Test?
12.2 Example: Linear Regression with Normal Errors		 Ch 14.6 (pp.564-572)
Ch 14.9 (pp.588-589)		 HanoOut#14
(PDF file)		 #14 (PDF file)
wait until 7/20

Solution of #14
(PDF file) (7/26)
15 July 26 12.2 Example: Linear Regression with Normal Errors (cont'd)

13. Summary II 		Ch 14.9 (pp.589-592) HandOut#15
(PDF file)

[Inquiry your available dates for supplementary classes]
(updated 8/10)		 NONE
16 August 2 Final Exam [Score of the final exam] Solution of the final exam
(PDF file) (8/10)
17 September 27 14. Time Series Models Ch 20.4 (pp.952-957) [About supplementary classes] 

HandOut#99
(PDF file)
(revised at 9/28)		 NONE
 18 15. Unit Root and Co-integration Ch 21.2 (pp.982-995)
Ch 21.3
(pp.999-1010)

Supplementary notes, etc.

#01 April 12, 2017

[Addtional references]
　　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.yale.edu/sites/default/files/files/pub/misc/history-cowles.pdf　)
　　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.

#03 April 26, 2017

[Additional references]
　　For detailed explanation on issues which handled in Today's class,
　　reading pp.42-75 of
　　　　Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P.
　　is highly recommended.

#04 May 10, 2017

[Additional reference]
　　The following books would be helpful for reviewing Today's class.
　　　　Chapter 18-20 and 22-23 of Davidson, J. (1994) Stochastic Limit Theory, Oxford Univ. Press.
　　　　Chapter 17, 18, 20, and 21 of Jacod, J. and Protter, P. (2004) Probability Essentials, Springer.
　　　　Chapter 6 and 7 of Bierens, H.J. (2004) Introduction to the Mathematical and Statistical Foundations
　　　　　　　　　　　　　　　　　　　of Econometrics, Cambridge Univ. Press

[Note to HandOut#04]
　　As I noticed in the class, there is typo in Theorem 4.5.1 of slide page 23.
　　Please download the corrected version from this home page and replace the distributed handout with it.

#06 May 24, 2017

[Additional reference]
　　For more detailed explanation of the ridge regression, the followings would be helpful.
　　　　pp.60-61 of Amemiya, T. (1985) Advanced Econometrics, Harvard Univ. Press.
　　　　Hoerl, A.E. and Kennard, R.W. (1970), "Ridge Regression: Biased Estimation for Nonorthogonal Problems,"
　　　　　Technometrics, 12 (1), pp.55-67.
　　　　Conniffe, D. and Stone, J. (1973) "A Critical View of Ridge Regression," Journal of the Royal Statistical Society,
　　　　　Series D (The Statistician), 22 (3), pp.181-187.

#07 May 31, 2017

[Coverage of the Mid-term exam]
　　The Coverage is from #02 to #07.

[Note to HandOut#07]
　　As I noticed in the class, there is many typos.
　　Please download the corrected version from this home page and replace the distributed handout with it.

#08 June 7, 2017

[Note to HandOut#08]
　　I found that there are many mistyped numbers; section numbers and equation numbers.
　　Please download the corrected version from this home page and replace the distributed handout with it.

[Items which are allowed to place on the desk at the Mid-term exam]
　　pen, pencil, eraser, watch, electronic calculator, and IC dictionary
　　<NOTE> cell phone and smart-phone are not allowed to place on the desk.

#11 June 28, 2017

[Note to HandOut#11] (Noted at 7/12)
　　TAs found that there is a typo in the HandOut#11.
　　Slide page 15 line 3, "(k-1) degree of freedom" should be "k degree of freedom."
　　Please download the corrected version from this home page and replace the distributed handout with it.

#14 July 26, 2017

[Inquiry your available dates for supplementary classes]
　　Please download the sheet here (docx file) and send your answer by e-mail.
　　Only 3 students has sent the sheet. Please send your answer as soon as possible ! (8/10)

#16 August 2, 2017

[Score of the final exam]
　　Distribution of the final exam score can be downloaded here (pdf file).

#17, 18 September 27, 2017

[About supplementary classes] (9/19)
　　Supplementary classes will be given at
　　　　16:00-18:30 September 27, 2017
　　　　#509 seminar room

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