| Lecturer | Prof. Dr. J. Grammig |
| Prerequisites | undergraduate Mathematics I and II and Statistics I and II |
| Language | English |
| Time and Place | Monday, 16:15 - 17:45 p.m., Neue Aula, HS 2 Wednesday, 16:15 - 17:00 p.m. Kupferbau, HS 24 |
| Exam | 120 Minutes |
| Credit Points | 7 |
| Content | 1. The linear regression model with Gaussian residuals 2. Ordinary Least Squares algebra and OLS finite sample properties 3. Hypothesis testing under normality 4. Generalized Least Squares 5. OLS large sample results (robust inference) 6. Endogeneity and instrumental variables 7. Introduction to the Generalized Method of Moments (GMM) |
| Literature | Fumio Hayashi (2000): Econometrics, Princeton University Press, Princeton and Oxford. |
Practical class (Dipl.-Vw. Oliver Wünsche)
Practical exercises for material covered in lecture "Introductory Econometrics"
Date: Wednesday, 17:15 - 18:00 p.m., PC-Labor, Nauklerstr., respectively HS 24, Kupferbau
Course material
| 17.10.05 | Assignment: Twenty five easy pieces in mathematical statistics To be prepared for next practical classes |
| 23.10.05 | Timetable Introductory Econometrics |
| 01.11.05 | Click here for first Hayashi-Chapter (pdf) More information on Hayashi´s Book (solutions, data, revised sections) |
| 03.11.05 | 1st set assignments Spreadsheet data for OLS estimation of Glosten/Harris |
| 08.11.05 | Three GAUSS programs to illustrate finite sample properties of OLS estimator Program 1; Program 2; Program 3 GAUSS (Version 6.0) is installed on the first two rows at the PC-Lab, Nauklerstr. (12 Licenses). You can let the programs run on these machines. A copy of GAUSS-Light, the student version of GAUSS, is included in the book "Econometric foundations" by Mittelhammer et al. (2003). The book is available at the chair´s library. To borrow the book you need to leave your student ID with Mrs. Hutt. The GAUSS-Light CD supplied in the textbook also contains a GAUSS tutorial. Another useful GAUSS tutorial is available here. |
| 16.11.05 | 2nd set assignments EViews workfile for OLS estimation of Glosten/Harris EViews workfile for the wine example The official EViews users guide and command reference is available for download here: http://www.eviews.com/eviews5/eviews5/EViews51Manuals.zip (about 12 MB!!!) |
| 23.11.05 | 3rd set assignments The data necessary to conduct the exercise are those we used in the 1st and 2nd assignments! |
| 24.11.05 | GAUSS Program from yesterday´s lecture |
| 06.12.05 | GAUSS program from Monday´s lecture. Note: If you use the 3.2.X version of GAUSS light you have to rename the program. The name of the file must not have more than 8 characters. Note also that the folder names must not exceed 8 characters. If you use GAUSS 6.0 (installed in the PC lab) you don´t have these limitations. |
| 07.12.05 | Slight change of plan: This wednesday we will have 2 hours lecture. The exercise by Oliver will be given on Monday (2 hours). |
| 09.12.05 | 4th set assignments (assignment sheet is updated on December 12th)!!! |
| 21.12.05 | The practical exercise this week will take place in the PC lab from 4 p.m. - 6 p.m.. If there is additional demand a second exercise is possible from 6 p.m. - 8 p.m.. 5th set assignments Data spreadsheet nerlove.xls |
| 09.01.06 | Below, you can download two exams of WS 2003/04. Please prepare the following tasks for the Wednesday exercise: ersttermin ws0304.pdf : Task 1 completely and Task 2 a) - d) zweittermin ws0304.pdf : Task 1 a) - f) and Task 2 a) - d) |
| 18.01.06 | 6th set assignments |
| 24.01.06 | Updated timetable and course plan US macro data and estimated accelerator model (from lecture last week) |
| 01.02.06 | 7th set assignments T-Bill rate and inflation data from Mishkin (1992) |
| 08.02.06 | 8th set assignments |
| 15.02.06 | EVIEWS Workfile from todays lecture |