In this course we shall continue the study of econometrics and its statistical foundation. The required textbooks are Hogg & Craig and Greene (same as for ECON 501), plus Cramer and Judge et al. See below for references. The primary goal of this course is to provide the student with the ability to understand and to formulate statistical models of economic relations, and to be able to test theories and to evaluate empirical models. A rigorous introduction is necessarily focused on the understanding of the most common econometric tools and their role in analysing modelling situations in economics. Therefore, I will try to avoid "plug-and-play" econometrics, by providing as much as possible rigorous (or at least intuitive) proofs of why and when the econometric tools covered in this course work.
As part of the final exam all students have to write an empirical term paper, which has to be turned in on or before the exam date. It should be a paper of about 10 pages, and the choice of topic is all yours. Originality will be highly valued, together with the correctness of the econometric analysis involved. You should not only demonstrate your econometric skills, but also your ability to translate economic hypotheses into econometric hypotheses, and vice versa. If you cannot come up with a project of your own design, you may do an assigned empirical project, which still leaves enough opportunities to demonstrate your creativity and econometric prowess. You may choose whatever statistical/econometric computer software/language you know or wish to learn. Several are available on the network, including EasyReg (recommended).
Each week I will assign homework of theoretical or empirical nature. The course grade will be based on the term paper (30%), homework (20%), a written midterm exam (25%) and a written final exam (25%). If the score in the midterm exam is lower than in the final, the final exam will count for 50% and the score in the midterm exam will be ignored.