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:
Generalized Nonlinear Least Squares, will be skipped. In section 7.8, everything from the subsection
Estimation by Nonlinear Least Squaresto the end of the section will be omitted. I'm sure we won't have time for section 7.10 on Panel Data.
Sample Final Exam
If you follow this link, you will see the sort of thing you can expect on the final exam. This is a composite made up from questions in recent finals, leaving out those that dealt with nonlinear estimation.
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 most relevant.
Solutions to assignments and exams:
In preparation for the midterm, the solution sheets for the first three of the 2015 assignments are now available.
I hope you all did well on the midterm exam. This link takes you to the solution sheet, where you can compare your answers with mine.
In preparation for the final exam, here are the solution sheets for the final two assignments from 2015.
To send me email, click here or write directly to
Russell.Davidson@mcgill.ca.
URL: https://russell-davidson.arts.mcgill.ca/e468