| Lecturer | Prof. Dr. J. Grammig |
| Prerequisites | undergraduate Mathematics I and II and Statistics I and II |
| Language | English |
| Time and Place | Wednesday, 10:15 - 11:45 a.m., Wednesday, 12:30 - 13:15 p.m. Übungsraum E03, Mohlstr. 36 |
| 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. Greene, W.H. (2000): Econometric Analysis, 4. Auflage, Prentice Hall, Upper Saddle River, New York. Wooldridge Jeffrey M. (2006): Introductory Econometrics-A Modern Approach, 3rd Ed., Thomson South-Western. |
Practical class (Dipl.-Vw. Kerstin Kehrle)
Practical exercises for material covered in lecture "Introductory Econometrics"
Date: Wednesday, 13:15 - 14:00 p.m., PC-Labor, Nauklerstr., respectively E 03, Mohlstr. 36
Course material
| 13.10.06 | Timetable Introductory Econometrics Assignments for Wednesday: Twenty five easy pieces in mathematical statistics Introductory slides: intro slides English-German Dictionary for introductory class (.xls) |
| 18.10.06 | Reference Material: Refresh your basic statistical and mathematical knowledge! Below you can find some material that gives an overviwe and summaries (and even more...) on mathematics and statistics. Focus only on relevant parts (!) that are familiar to you from your undergraduateeducation in Math. and Stat.: Hamilton: Time Series Analysis pages: 704-750 |
| 19.10.06 | There will be regurlary questions for review on the course homepage. 1 questions for review |
| 26.10.06 | The GAUSS program from the lecture: 25th of October: Program 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 useful GAUSS tutorial is available here. Updated questions for review 2: questions for review |
| 09.11.06 | Data Sets for practical exercise 15th November: dcxft_tim_my.xls wages2.xls Updated questions for review 3: questions for review |
| 16.11.06 | The GAUSS program from the lecture: 15th of November OLS_3.prg Updated questions for review 4: questions for review |
| 22.11.06 | The GAUSS program from the lecture: 15th of November OLS_0_ws0607.prg Updated questions for review 5: questions for review |
| 04.12.06 | Updated questions for review 6: questions for review The next practical exercise will take place on 6th of December. As the last time there will be two alternative appointments which cover exactly the same(!) assignment. (Assignment Sheet2 Task1 and Assignment Sheet3 Task1) You may attend either the first exercise at 12:30-14:00 or the second at 14:15-15:45. Data Sets 6th of December: dcxft_tim.xls dcx_gh.wf1 |
| 06.12.06 | Updated questions for review 7: questions for review Little gauss program of the exercise: f_vs_chi.prg |
| 13.12.06 | Updated questions for review 8: questions for review Little gauss program of the exercise: OLS_sim_WS06_1.prg |
| 10.01.07 | Updated questions for review 9 & 10: questions for review |
| 11.01.07 | The next practical exercise will take place on 17th of January. As the last time there will be two alternative appointments which cover exactly the same(!) assignment. (Assignment Sheet5) You may attend either the first exercise at 12:30-14:00 or the second at 14:15-15:45. Data Set 17th of January: nerlove.xls |
| 19.01.07 | Slides of the practical exercise (17th of January): nerlove_presentation |
| 22.01.07 | Updated questions for review 11: questions for review |
| 29.01.07 | Updated questions for review 12: questions for review |
| 01.02.07 | Updated questions for review 13: questions for review Note: There will be no lecture on 7th February 2007 from 10:15-11:45 and 12:30-14:00. Instead the lecture will take place on 7th February 2007 from 18:15-open end... |
| 08.02.07 | Updated questions for review 14: questions for review |
| 09.02.07 | NEW Q4R: 14: questions for review |
| 19.02.07 | Updated questions for review 15: questions for review |