Economics 628 - Econometrics I

Instructor:

Instructor: Peter Fuleky

Office: 508 Saunders Hall

Email: fuleky at hawaii.edu

Overview:

This course aims to provide first year economics Ph.D. students with an introduction to probability theory and statistical inference as well as modern econometric methods and theory.

Books/Notes:

- Probability Lecture Notes by Arne Hallam (required)

- A Short Introduction to Probability by Dirk Kroese (required)

- Introduction to Probability Notes by Charles Grinstead and Laurie Snell (recommended)

- Introduction to Probability Notes by Dimitri Bertsekas and John Tsitsiklis (recommended)

- A Modern Introduction to Probability and Statistics: Understanding Why and How by Dekking, Kraaikamp, Lopuhaa, and Meester (recommended)

- Statistical Inference by George Casella and Roger L. Berger, 2nd Edition (recommended)

- Probability Theory and Statistical Inference: Econometric Modeling with Observational Data by Aris Spanos (recommended)

- Econometrics Lecture Notes by Bruce Hansen (required)

- Econometrics Lecture Notes by Michael Creel (recommended)

- A Guide to Econometrics by Peter Kennedy, 6th Edition (recommended)

- Introduction to Econometrics by Christopher Dougherty, 4th Edition (recommended)

- Econometric Theory and Methods by Russell Davidson and James G. MacKinnon (recommended)

- A (Very) Short Introduction to R by Paul Torfs and Claudia Brauer (required)

- R Reference Card (required)

- R Reference Card 2.0 (required)

- Introduction to Probability and Statistics Using R by Jay Kerns (recommended)

- Introduction to Statistical Thought by Michael Lavine (recommended)

- Econometrics in R by Grant V. Farnsworth (recommended)

- R Downloads and Documentation (recommended)

Course Structure:

There will be two lectures per week. Attendance is not mandatory at lectures, but exams and homework assignments will focus primarily on material presented in lectures.
Homework problems and answers to homework problems, as well as important information with regard to exams and announcements will be posted on the course website. It is your responsibility to check the website for announcements, assignments, and any possible changes related to the course plan.
Grades will be determined by one midterm (40%) and one final exam (40%), as well as approximately weekly problem sets (20%).

Rough Outline of Topics:

1) Probability Theory

- Set Theory, Counting, Random Variables, Distribution Functions

- Expectations, Transformations

- Common Distributions

- Joint Distributions, Conditional Distributions, Covariance, Correlation

- Convergence, Central Limit Theorem

2) Econometrics

- Ordinary Least Squares Modeling and Estimation

- Ordinary Least Squares Asymptotics

- Maximum Likelihood

- Heteroskedasticity

- Serial Correlation

- Instrumental Variables

- Generalized Method of Moments

Links:

Econometrics: A Bird's Eye View

Intro to R script 1

Intro to R script 2

More illustration of concepts in R

Clickable distribution chart

Distribution relationships

R code for bivariate normal distro

Use of logarithms in economics

Linearly independent, orthogonal, and uncorrelated variables

Visualizing multiple regression

More on Venn diagrams for regression

A primer on asymptotics

Type II error and the power of a test