This course in econometrics is intended for all Honours students in Economics. Its aim is to make you conversant with modern econometric theory and practice. Mathematical prerequisites are reasonable, just enough to grasp the theoretical underpinnings of the subject. In particular, only a little calculus is used, but there is quite heavy emphasis on matrix algebra. The practical side of the course involves working with real data, and also conducting simulation experiments on the computer. Since simulation plays an increasingly important role in both econometric theory and practice, a good deal of emphasis is placed on it.
Course Outline
Course details and announcements:
The date for the midterm has been fixed as Monday October 22, in the usual classroom, from 13.00 to 14.30
The TA for the course this term is WenJing Cai <wenjing.cai@mail.mcgill.ca> Her office hours will be announced shortly.
Textbooks:
The principal textbook for the course is Econometric Theory and Methods, Russell Davidson and James G. MacKinnon, Oxford University Press. An older, and more advanced, book by the same authors and the same publisher is Estimation and Inference in Econometrics.
The new, improved, version of Chapter 4 can be found here. Note however that section 4.6 of the old textbook is not contained in this new version, since it has been moved to a different chapter. We will therefore cover section 4.6 from the old book.
Software:
For those of you who may be having trouble with available software for running
regressions, simulations, etc.,
you might like to try my own software,
Ects. The documentation is available,
not all but most of it in English, all of it in French. For ease, you
can find the first volume here (in
English), and the second volume here.
Assignments:
The five assignments from 2015 are collected in this zip file. Each file is dated, and this should give you an idea of the point in the course at which the problems in the assignment are m ost relevant.
Solutions to assignments and exams:
To send me email, click here or write directly to
Russell.Davidson@mcgill.ca.
URL: http://russell-davidson.arts.mcgill.ca/e468