Web Site for
Advanced Econometrics I (undergraduate) &
Econometircs I (graduate) of 2018SY

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

Course Plan (at 8/22)

The day represented bold letter shows finished contents, and the day represented normal letter shows planned contents.

Supplementary notes, etc.

#01 April 11, 2018

[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 25, 2018

[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 9, 2018

[Additional references]
　　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

#05 May 16, 2018

[Note to Assignments #05] (announced at 5/17 20:00 5/18 16:15)
　　(1) Please add the following sentence in Q2; we assume that X is non-stochastic
　　(2) Please correct the sectence in Q1;
　　　<old> Suppose A is a positive definite matrix.
　　　<new> Suppose A is a k x k symmetric and positive definite matrix.
　　(The PDF file is replaced at 20:00 May 17 16:15 May 18.)

#06 May 23, 2018

[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.

[Typos in HandOut#06] (announced at 6/1 21:15)
　　A student find that some typos exist in page 6 of HandOut#06.
　　Please replace the corrected version which is downloadable from this Web page.

#09 June 13, 2018

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

[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.

#10 June 20, 2018

[Typos in HandOut#10] (announced at 6/20 19:50)
　　There are many typos in HandOut#10 which was distributed in the class.
　　Please replace the corrected version which is downloadable from this Web page.

#13 July 11, 2018

[Typo in HandOut#13] (announced at 7/11 20:55)
　　A student find a typo in (12.2.10) of page 15 in HandOut#13 which was distributed in the class.
　　The correct equation of (12.2.10) is
　　　f=((RRSS-URSS)/l)/(URSS/(n-k)).
　　Please replace the corrected version which is downloadable from this Web page.

#14 July 18, 2018

[Typos in HandOut#14] (announced at 7/18 19:00 7/25 17:40)
　　There are many typos in HandOut#14 which was distributed in the class.
　　(The section number is wrong; not 14 but 13. Other typos exist in page 4, 5, 8, 9, and 10.)
　　Please replace the corrected version which is downloadable from this Web page.
　　(Highly Recommended)
　　A student found that some typos still exist in the corrected version.
　　As the 2nd corrected version is downloadable since 7/25 17:40, please replace !

[Additional References]
　　For VAR models, the followings would be helpful.
　　　Chapter 11 of Hamilton, J.D. (1994), Time Series Analysis, Princeton Univ. Press.
　　　Chapter 9.4 of Verbeek, M. (2012), A Guide to Modern Econometrics, 4th ed., Wiley.

#15 July 25, 2018

[Additional References]
　　For nonstationary time series, the followings would be helpful.
　　　Chapter 17-19 of Hamilton, J.D. (1994), Time Series Analysis, Princeton Univ. Press.
　　　Banerjee, A. et. al (1993), Co-Integration, Error-Correction, and the Econometric
　　　　　Analysis of Non-Stationary Data, Oxford Univ. Press.

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