This is the first course in the PhD Econometrics sequence. The course has two objectives. The first is to introduce what might be called the core topics of econometrics -- these constitute the launching point upon which all advanced courses build. The second objective is to get students familiar with the art of conducting empirical work in econometrics through the use of suitable computational software.

Class Meets: Tuesday, Thursday, 9:30am - 10:45am

Required Texts

Kennedy, Peter (2003): A Guide to Econometrics. 5^th Edition, Blackwell. ($32-$41)

This is not a textbook. It is, as its name indicates, an interpretative guide. But it is a very helpful one.

William H. Greene (2003), Econometric Analysis, 5^th Edition, Prentice Hall. (~$150). (A 6th edition is due soon).

As a desk reference, Greene dominates the field these days and can be found on almost any empirical researcher's shelf. It will be required in the Econometrics II, so I have chosen to require it here.

However, a common comment is that Green is most useful for the median student as a reference after completing the course, but it is quite hard to learn from. There are alternative texts. A very good one, which has the added bonus that it is built around the software we use, is

Baum, Christopher F. (2006): An Introduction to Modern Econometrics Using Stata. College Station, TX: Stata Press.  (~$60)

Another one, which is at a much more accessible (i.e. not really Ph.D.) level is:

Judge, George. G. William .E. Griffiths, R. Carter Hill, Helmut Lutkepohl, and Tsoung-Chao Lee (1988), An Introduction to the Theory and Practice of Econometrics, 2nd edition, John Wiley & Sons, Inc. (~$140 - appears to be out of print but is available at many online stores, including Amazon).

Baum is missing much material that is Greene. Judge et al. is also missing much material that is in Greene, and it is dated. But they are much easier books to learn from. So the trade-off is this: you will learn a little faster with Baum or Judge et al., but you will outgrow the book next year. The learning curve is more arduous with Greene, but you will probably never outgrow it.

Online free texts

No single econometrics book is ideal. Something that may be clear in one text may be obtuse in another; something covered in ample detail in one text is almost absent from another. So of course, you'd like more texts. While I have listed some good ones below, you can't afford them all. A supplementary approach is to take a look at some online material collected at Lecture Notes Online. Bruce Hansen of Wisconsin also has a draft of a book available.

Alternative bricks and mortar texts

An additional reference text that is useful is

G.G. Judge, W.E. Griffiths, R.C. Hill, H. Lutkepohl, and T-C. Lee (1985), The Theory and Practice of Econometrics, 2^nd Edition, John Wiley & Sons, Inc.  (~$140).

Hayashi, Fumio (2000): Econometrics. Princeton University Press.

A text focused much more on the practice of econometrics is:

Ernst R. Berndt (1996), The Practice of Econometrics: Classic and Contemporary, Addison-Wesley Publishing Company. (~$140)

Books dealing with particular topics will be listed in the appropriate section. Many other fine econometrics books are listed here.

Finally, I hear on the grapevine that many students in recent years have studied from a mixture of the lecture notes and an undergraduate book. The most popular seems to be

Gujarati, Damodar (2003): Basic Econometrics, 4th edition McGraw Hill.

Preparation for this course (Jobs for the Winter Break)

1. Undergraduate preparation: you should be familiar with basic concepts of statistics and probability, such as is covered in an undergraduate statistics course. If you do not have this preparation, or if you have forgotten it, you should use the winter break to revise. Time is limited so I suggest the following text:

Gonick, Larry, and Woolcott Smith (2000): The Cartoon Guide to Statistics: New York: Harper Collins

Its can be had for under 13 bucks, it's fast and it's fun (if you have a preadolescent sense of humor).

2. Matrix Algebra Review. Whether this is a review or first time around for you, I will assume from day one that you know what is in the review material. To ensure you have reviewed this material, there is a problem set due on the first day of class.

3. Stata. The econometrics software we will be using is Stata. It is installed in the graduate computer lab, and the manuals are available as a reference. Anyone caught removing manuals from the department will receive an F for this course. You should take time during the winter break to learn the basics.

Grading

1. Problem sets  (33%). There will be a problem set most weeks. You may either work alone or in pairs. If two people work jointly on an assignment, they must hand in just one copy of the assignment with both names on it. Students not working together formally as a pair may discuss issues related to the homework problems, but cannot exchange written code or written solutions. The main text of your homework should include a neat presentation of your results, along with a discussion of the results. This section must be typed and neatly formatted. Including the computer output from Stata is not what I am looking for. You should look at some empirical papers in the top journals and decide on a format you like for presenting results in tables. Actually reading some of them will help you understand how to discuss your results. You should include as an appendix  relevant math calculations (which may be handwritten), and relevant computer programs and computer output such as log files (which can be printed directly from Stata). The computer programs programs should be appropriately annotated with comments explaining what each part of the program is doing. Note that you must keep a single DO file that replicates all your results. If I have questions about what you have done, I will ask for a copy of this file so I can run your analysis.

2. Essay  (33%). You will write a short essay (c. 3,000 words) on an empirical subject in which you are interested. Prior to 31 March, you must submit a three-page proposal that identifies a topic, one or two possible data sets that you will use, and an outline of the econometrics you expect to conduct. The final essay is due on the last day of classes. This is an introductory econometrics course, so I do not expect empirical analysis at the frontier of the science. Instead, the main purpose is to get you to think about how to structure an empirical paper, and to go through the whole process of doing one -- identifying the question, a review of literature, description of the data, analysis and conclusions. This is also a handy time to develop a format for the layout of more substantive papers that you will write in the future.

3. Final Exam (33%). This will be held during exam week at the time assigned by the university.

Note: A necessary but not sufficient condition to receive an A in this course, is that you must receive at least a B in each of the three sections, and an A in at least two of them. A necessary but not sufficient condition to receive an B in this course, is that you must receive at least a C in each of the three sections, and at least a B in two of them.