Course web page:
Instructor:
Teaching assistant:
Books available at UCSD bookstore:
Fumio Hayashi, Econometrics, Princeton University Press, 2001. This is the main text for the course. Click here for the home page for Hayashi's text.
James D. Hamilton, Time Series Analysis, Princeton University Press, 1994. This book is used as an optional supplementary text for the course and is also used in other courses at UCSD.
Journal articles:
Arnold Zellner, "Bayesian and non-Bayesian analysis of the regression model with multivariate Student-t error terms", Journal of the American Statistical Association, 71, June 1976, pp. 400-405.
M.L. King, "Robust tests for spherical symmetry and their application to least squares regression", Annals of Statistics1980, pp. 1265-1271.
N. Gregory Mankiw, David Romer, and David Weil, "A Contribution to the Empirics of Economic Growth," Quarterly Journal of Economics,107, May 1992, pp. 407-437.
Howard J. Wall, "Using the Gravity Model to Estimate the Costs of Protection," Federal Reserve Bank of St. Louis Review, Jan/Feb 1999, pp. 33-40.
Stephen V. Cameron and James J. Heckman, "The Nonequivalence of High School Equivalents," Journal of Labor Economics, Vol. 11, part 1, Jan 1993, pp. 1-47.
Joshua D. Angrist, "Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records," American Economic Review, 80, June 1990, pp. 313-336; Errata, December 1990, pp. 1284-1286.
James D. Hamilton, "The Supply and Demand for Federal Reserve Deposits," Carnegie-Rochester Conference Series on Public Policy, 49, December 1998, pp. 1-44.
Joshua D. Angrist and Victor Lavy, "Using Maimonides' Rule to Estimate the Effect of Class Size on Scholastic Achievement," Quarterly Journal of Economics, 114, May 1999, pp. 533-575.
Joshua D. Angrist and Jorn-Steffen Pischke, "The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics," Journal of Economic Perspectives, 24, Spring 2010, pp. 3-30.
Whitney K. Newey and Kenneth D. West, "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, 61, Oct. 1994, pp. 631-653.
Yixiao Sun, "Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference," Journal of Econometrics 178, January 2014, pp. 659–677.
James H Stock, Jonathan H Wright and Motohiro Yogo, "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business and Economic Statistics 20, Oct. 2002, pp. 518-529.
The articles above can be downloaded online. The syllabus you are now reading can also be viewed as an HTML document at http://econweb.ucsd.edu/~jhamilto/Econ220B_Syllabus.html. If you are viewing this as an HTML document, clicking on any active link above will take you immediately to the source where the article can be viewed online or downloaded.
Grades for Econ 220B will be determined as follows:
Tu Jan 10 | Review of linear algebra (Hamilton, Section A.4, pp. 721-739) | |
Th Jan 12 | The algebra of least squares (Hayashi, Section 1.2) | |
Tu Jan 17 | The classical regression model (Hayashi, Sections 1.1 and 1.3; Hamilton, Section 8.1) | |
Th Jan 19 | Hypothesis testing (Hayashi, Sections 1.4, 1.5, and 1.7; references: Zellner, 1976 and King, 1980) | |
Tu Jan 24 | Generalized least squares (Hayashi, Section 1.6) | |
Th Jan 26 | Asymptotic distribution theory (Hayashi, Sections 2.1-2.2; Hamilton, Section 7.1) | |
Tu Jan 31 | Large sample properties of OLS (Hayashi, Sections 2.3 and 2.9; Hamilton, Section 8.2) | |
Th Feb 2 | Hypothesis testing-- asymptotic results (Hayashi, Sections 2.4-2.6; Hamilton, Section 8.2) | |
Tu Feb 7 | Maximum likelihood estimation (Hayashi, Section 1.5; Hamilton, Section 5.7) | |
Th Feb 9 | Midterm exam | |
Tu Feb 14 | Heteroskedasticity and serial correlation (Hayashi, Sections 2.7, 2.8, 2.10, 2.11; Hamilton, Section 8.3) | |
Th Feb 16 | Simultaneous equations bias (Hayashi, Sections 3.1-3.2; Hamilton, Section 9.1) | |
Tu Feb 21 | Applied econometrics (Mankiw, Romer, and Weil; Wall) | |
Th Feb 23 | Applied econometrics (Cameron and Heckman; Angrist; Hamilton 1998; Angrist and Pischke) | |
Tu Feb 28 | General formulation (Hayashi, Section 3.3; Hamilton, Section 9.2) | |
Th Mar 2 | No scheduled class | |
Tu Mar 7 | Weak instruments (Stock, Wright and Yogo) | |
Th Mar 9 | Generalized method of moments (Hayashi, Sections 3.4-3.6; Hamilton, Section 14.1) | |
Tu Mar 14 | Uses of GMM (Hayashi, Sections 3.8-3.9; Hamilton, Section 14.2; Newey and West; Sun) | |
Th Mar 16 | GMM and Maximum likelihood estimation (Hamilton, Section 14.4) | |
Th Mar 23 | Final exam (8-11 a.m.) |