Econometrics II ECGA7920-001, January 2009
Name: Prof H. D. Vinod, Ph. D. (Harvard).
Title: Professor of Economics. www.fordham.edu/economics/vinod
Click on Graduate Class Resources.
Office location: Dealy Hall 5th floor East side, Room beyond Economics Dept. Room E526.
Office hours: Thursday 2:45 to 3:45 and by appointment.
Required Textbook:
1] "HANDS-ON INTERMEDIATE ECONOMETRICS USING R:
Templates
for Extending Dozens of Practical Examples"
by
Hrishikesh D Vinod (Fordham University in New York, USA)
Published by
World Scientific of Hackensack NJ and Singapore.
Hereafter (H-on)
`http://www.worldscibooks.com/economics/6895.html'
has `How to Order'
About 508
pages + software CD, Available in early October 2008
ISBN 978-981-281-885-0
price=$78 lower than most other
texts.
Supplements
2] Davidson, R. and J. G. MacKinnon (2004) Econometric
Theory and Methods.
http://www.oup.com/us/catalog/general/subject/?view=usa&ci=0195123727
quotes the price to be $89.95
(This is chosen for it has good coverage, and lots of good exercises.)
http://www.econ.queensu.ca/ETM/
3] Peter Kennedy’s A Guide to Econometrics, Fifth Edition, September 2003
ISBN 0-262-11280-9
6 x 9, 500 pp.
$40.00 for paperback.
Optional
4] G. S. Maddala and In-Moo Kim "Unit roots, Conitegration and Structural Change," Cambridge Univ. Press, 1998.
5] Greene, 200x William H. Econometric Analysis, MacMillan Publishing, 5th ed, NY
6]
Hamilton, James D. Time Series Analysis,
7] Gujarati (undergrad text, some spoon feeding details included)
HOMEWORK DIARIES: There will be homework to be done weekly. I would try to remember to give explicit assignment every week. The assignment details will be posted on my website. All answers to the questions or other material comprising the diaries will be kept by you in a (perhaps a large 3-hole punched) binder called a “diary” at home. I will randomly check whether you are doing the diaries by asking questions. The final version of your Homework Diary (generally kept with you) will be GRADED. It will be collected about three weeks before the end of the semester. You should keep duplicates of material going in diaries, since you will need to study with the material in the homework diaries during the open book (+notes) portion of your final exam. I will not be able return the diaries to you, before your final exam, since I will be grading them.
IMPLICIT Weekly Homework ASSIGNEMNTs for the diary.
In the absence of a specific diary assignment, please read and work out the snippets in your Hands-on text.
There will be No Make-ups on quizzes or exams. If you have a written medical certificate or similar genuine reason with written proof you may be excused at my discretion, by making your final worth more points.
For some of you Econometrics may be one of the hardest and most demanding courses ever taken. I feel that graduate level econometrics cannot be learned without matrix algebra. If you are weak in matrix theory, start brushing it up right away. Use the tutorials with the software and early chapters of textbooks. I am here to help if you do not understand things. It is difficult to cover the vast material without being stingy with the class time. Different students have different backgrounds and weaknesses. There is no way for me to know all of them.
You may feel that a lot of information is being thrown at you. You need to develop regular study habits, and not expect spoon-feeding-style-teaching. There is a lot of self-teaching and you may have to form study teams and help each other. A Sanskrit saying: “Knowledge is a rare commodity which increases by giving.” In the end, I want you to feel that you learned the material yourself, and develop confidence that you can learn anything, especially Journal articles on your own (given enough time). You have to develop a flair for reading and generally understanding proofs, since most journals seem to follow the “assumptions, theorem and proof" format. You do not read econometrics books and articles in bed. You have to work at them always with a pen and paper. It helps enormously to write down the arguments of theorems and try to prove them.
You are required to have an E-mail address and you must visit the address very regularly and clean out junk. I do not like to get message from the E-mail provider that your space is OVERFULL, etc. Homework assignments will be given by E-mail and if some of them become difficult to implement, you will have to let me know why and where is the problem. Always keep in touch with at least one classmate, so you do not miss your assignments due to E-mail problems.
My E-mail to you is SERIOUS business and generally EVERY WORD is important part of your assignment. Let me know about any ambiguities right away by E-mail and I will clarify to everyone. Also, if some assignment is taking too long, let me know immediately and I may suggest modifications for the benefit of all. When sending E-mail to me, please have the subject line start with “ETR1.”
You MUST HAVE a PC. A key-chain flash memory drive is good to have. If you do have one, you will be able to bring it to class. This will facilitate getting help from me or from your classmates. Also, if you have a LAPTOP then you can simply bring the LAPTOP to your classmate or me and show exactly where you need help.
You will have to learn R software or at www.r-project.org
instructions for downloading it are available by googling the word “r-project” or at:
www.fordham.edu/economics/vinod/r-lang.doc
This is already uploaded on JMH computers. Other software product licenses “expire” and then you cannot use it anymore. For example SAS is expensive to keep up with. The great advantage of R is that the latest versions can be had by simple clicks if your computer has an Internet connection. All specialized additional software modules do not require extra cost. R is actually more powerful than SAS in terms of numerical accuracy, but not for very very large data sets with millions of data points. Only financial economists with hourly data may have that problem.
CLASSROOM QUIZZES: I may ask you to do very simple questions in the class. You will have to work out and submit your answers to all those questions right in the class. These will NOT be graded. As we make progress through the various chapters of the textbooks, please try to do the R snippets in preparation for these classroom quizzes.
Computer Homeworks
You are expected to implement these by using the R software.
Weights on various aspects of the class work as we all agreed are:
40% Home Work Diary
20% for Replication
5% for attendance
35% for the Final exam
No Make-ups on quizes or exams. If you have a written medical certificate or similar genuine reason with written proof you may be excused at my discretion, by making your final worth more points.
The main topics are Simultaneous equation methods, Limited dependent variables and Time series analysis.