ECON 501.2 (Fall 1999)

Introduction to Statistics and Econometrics
for Ph.D. Students in Economics

Instructor: Prof. Herman J. Bierens (Tel.: 865-4921, email: hbierens@psu.edu)
Office hours: Wednesday 2-4 pm (Kern 510)

T.A.: Sergei Izmalkov
T.A.'s office hours: Wednesday 4-6 pm

Time and place: Tuesday-Thursday 1-2:15 pm, 202 Rackley

The objective of this course is to prepare the first year Ph.D. students in economics for the study of econometrics, by providing a rigorous introduction to probability and measure theory, mathematical statistics, and the classical multivariate linear regression model. Each week a number of exercises from the text books will be assigned as homework. At the end of the semester also some econometric exercises may be assigned that require the use of a PC and econometrics software.

The final grade will be determined by the homework (20%), a written closed-book mid-term exam (40%), and a written closed-book final exam (40%). The final exam will cover the material in the mid-term exam as well. If you score higher on the final exam than on the mid-term exam, the latter score will be ignored, and the final exam will count for 80% of the final grade.

Required textbooks

• [RG] A. Ronald Gallant, An Introduction to Econometric Theory, Princeton University Press
• [HC] R.V. Hogg and A.T. Craig, Introduction to Mathematical Statistics (Fifth Ed.), Macmillan

Topics

1. Introduction to probability [RG, Ch. 1-3; HC, Ch. 1]
2. Multivariate distributions [HC, Ch.2]
3. Discrete distributions: Binomial and Poisson distributions [HC, Ch.3]
4. Normal, t- and Chi-square distributions [HC, Ch. 3]
5. Functions of random variables [RG, Ch.3; HC, Ch. 4]
6. The multivariate normal distribution [Lecture notes; RG, Sec. 3.8; HC, Sec. 4.10, 10.8, 10.9]
7. Modes of convergence, the law of large numbers and the central limit theorem [Lecture notes; RG, Ch.4; HC, Ch. 5]
8. Statistical inference [RG, Ch.5; HC, Ch. 6 + 9, Lecture notes]

Disability Message:

The Pennsylvania State University encourages qualified persons with disabilities to participate in its programs and activities. If you anticipate needing any type of accommodation in this course or have questions about physical access, please tell the instructor as soon as possible.