Econ 220B Course Syllabus, Winter 2014
University of California, San Diego

Course web page:

http://dss.ucsd.edu/~jhamilto/Econ220B.html

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.

Douglas Staiger and James H. Stock, "Instrumental Variables Regression with Weak Instruments," Econometrica 65, May 1997, pp. 557-586.

The articles above can be downloaded online. The syllabus you are now reading can also be viewed as an HTML document at http://dss.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:

Course Outline

Mon Jan 6Review of linear algebra (Hamilton, Section A.4, pp. 721-739)
Wed Jan 8The algebra of least squares (Hayashi, Section 1.2)
Mon Jan 13The classical regression model (Hayashi, Sections 1.1 and 1.3; Hamilton, Section 8.1)
Wed Jan 15Hypothesis testing (Hayashi, Sections 1.4, 1.5, and 1.7; references: Zellner, 1976 and King, 1980)
Fri Jan 17Generalized least squares (Hayashi, Section 1.6) (note this is a special Friday section held in Room 200)
Mon Jan 20University holiday (no scheduled class)
Wed Jan 22Asymptotic distribution theory (Hayashi, Sections 2.1-2.2; Hamilton, Section 7.1)
Mon Jan 27Large sample properties of OLS (Hayashi, Sections 2.3 and 2.9; Hamilton, Section 8.2)
Wed Jan 29Hypothesis testing-- asymptotic results (Hayashi, Sections 2.4-2.6; Hamilton, Section 8.2)
Mon Feb 3Maximum likelihood estimation (Hayashi, Section 1.5; Hamilton, Section 5.7)
Wed Feb 5Midterm exam
Mon Feb 10Heteroskedasticity and serial correlation (Hayashi, Sections 2.7, 2.8, 2.10, 2.11; Hamilton, Section 8.3)
Wed Feb 12Simultaneous equations bias (Hayashi, Sections 3.1-3.2; Hamilton, Section 9.1)
Mon Feb 17University holiday (no scheduled class)
Wed Feb 19Applied econometrics (Mankiw, Romer, and Weil; Wall)
Mon Feb 24Applied econometrics (Cameron and Heckman; Angrist; Hamilton 1998; Angrist and Pischke)
Wed Feb 26General formulation (Hayashi, Section 3.3; Hamilton, Section 9.2)
Mon Mar 3Weak instruments (Staiger and Stock)
Wed Mar 5Generalized method of moments (Hayashi, Sections 3.4-3.6; Hamilton, Section 14.1)
Mon Mar 10Uses of GMM (Hayashi, Sections 3.8-3.9; Hamilton, Section 14.2)
Wed Mar 12GMM and Maximum likelihood estimation (Hamilton, Section 14.4)
Wed Mar 19Final exam (8-11 a.m.)