ECON305 - Advanced Mathematical Methods

ECON 611: Advanced Econometrics, Term 1 2014/2015

Lecture Time and Place
Tuesdays 8:30-11:45pm, SOE/SOSS Seminar Room 2-3

(Exception: Tuesday, noon-3:15pm, SOE/SOSS SR2-2 on 21 Oct, 2014)

Instructor
Liangjun SU ljsu@smu.edu.sg, Tel: 6828 0386
Office hours: Tuesdays 3-5pm or by appointment, at SOE/SOSS Building #05-052

Teaching Assistant: WANG WuYi

Discussion lecture venue and time:

Week	Date	Time	Venue
2	29 Aug 14	4pm to 6pm	SOE/SOSS Class Room 4-1
4	12 Sept 14	4pm to 6pm	SOE/SOSS Class Room 4-1
6	26 Sept 14	4pm to 6pm	SOE/SOSS Class Room 5-1
9	17 Oct 14	4pm to 6pm	SOE/SOSS Class Room 4-1
11	31 Oct 14	4pm to 6pm	SOE/SOSS Class Room 4-1
13	14 Nov 14	4pm to 6pm	SOE/SOSS Class Room 4-1

Office hours: Thursdays, 4-5pm

Office: SoE/SoSS GSR 4-5

Email: wuyi.wang.2013@phdecons.smu.edu.sg

Textbooks

Required

Econometrics, by Fumio Hayashi, Princeton University Press, 2000.

Supplementary Books

Econometric Analysis of Cross Section and Panel Data, by Jeffrey M. Wooldridge, MIT Press, 2^nd edition, 2010

Econometric Analysis, by W. H. Greene, Prentice-Hall, 7^th edition, 2011.

Econometrics, draft graduate textbook, by Bruce Hansen, available from the author’s website at http://www.ssc.wisc.edu/~bhansen/econometrics/

The lecture notes will also be provided.

Statistical software

Knowledge in Stata is required. Nevertheless, if you are familiar with Eviews, you can also use it for your homework questions.

Eviews is basic, easy to apply (user-orientated), and best for time series data. Stata is at a higher level, good for graduate students, and user- orientated. For SMU faculty or students to access Eviews and Stata, please refer to the installation guides through the SMU network at

\\fs21\Applications\PC_Software_Image\Student\EViews8

\\Fs01\applications\applications\Research-Software\Stata

For instructions on installation of Eviews, click here. For instructions on installation of Stata, click here.

Note

For additional help, please contact Anson CHEW Wee Sing at IITS via his E-mail: ansonchew@smu.edu.sg.

Lecture Notes

0. Brief review of matrix algebra

1. General regression analysis

2. Classical linear regression models

3. Large sample theory for linear regression models

4. Linear regressions with time series processes (uploaded on 2014/09/06)

5. Additional topics in regression analysis (uploaded on 2014/09/13)

6. Instrumental variable (IV) estimation (uploaded on 2014/10/13, last subsection revised on 2014/10/29)

7. Generalized method of moments (GMM) estimation (uploaded on 2014/10/23)

8. Model selection and model averaging (if time permits, uploaded on 2014/11/11)

Review for the final (uploaded on 2014/11/8)

Homework and Solutions

Homework and post date	Due Date	Solutions
HW1 (15 Aug, 2014)	2 Sept, 2014	HW1 Solutions
HW2 (25 Aug, 2014) nerlove.xls	16 Sept, 2014	HW2 Solutions, Computer questions
HW3 (13 Sept, 2014) prminwage.xls	30 Sept, 2014	HW3 Solutions, Computer questions
HW4 (29 Sept, 2014)	21 Oct, 2014	HW4 Solutions
HW5 (17 Oct, 2014) card.xls, card.pdf	4 Nov, 2014	HW5 Solutions, Computer questions
HW6 (29 Oct, 2014)	N/A	HW6 Solutions, Computer questions