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Economics 468





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 class meets on Tuesdays and Thursdays, from 13.00-14.30, in Room 280 of the Macdonald Engineering building.

Our TA is Jean-François Fournel.

His office hours will be, starting next week (Sept 15th)

in Ferrier 231A. Note that this information is different from what was here earlier.

J-F Fournel will hold two tutorials on Matlab, as follows:

Midterm Exam

The midterm exam will be a timed take-home exam. The exam is available here, and the data file can be accessed from here. You should upload two files - as for the assignments - to myCourses by 15.00 on Wednesday October 20.

While you are working on the exam, be sure to use the latest version of the e-textbook, since it gets modified almost after every class.

Thanksgiving Week

Thanksgiving Monday, October 11, is a holiday; classes are cancelled that day. This year, classes on Tuesday 12 are cancelled as well. Thursday 14 is a makeup day for Monday classes; Friday 15 for Tuesday classes. What this means is that in Thanksgiving week we meet only on Friday 15.


Textbooks:

The main support for this course is the ebook Foundations of Econometrics, available by clicking here. It may be a good idea to download it to your computer or tablet. This ebook is entirely free, but is copyrighted by the authors. It has been constructed out of material in what used to be the principal textbook for the course, 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.

It is my intention to go through the e-textbook from start to finish in order, omitting nothing. Of course, this may not be possible, for various reasons. But if it turns out to be necessary to omit something, I will let you know, and announce it here.

Software:

This year, at least, the recommended software packages for econometrics are, first, MatLab, a commercial product, but freely available to people at McGill on account of a site licence, and, second, Python, a general-purpose interpreted programming language. Our TA uses MatLab, and can answer questions about it. Python is free software (prefer Python 3 to Python 2) and has a vast number of libraries available to it for many things, including econometric calculations.

For more information about getting Matlab, click on this link.

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.

Log of material covered

Assignments:

The first assignment is available here. It is due on Thursday October 7. Upload two files to myCourses, one, your answers to the questions, the other, your computer code.

Recordings

What follows are links to the recordings made last year when the course was entirely online. The recordings should be of use in many circumstances: for instance, if you have to miss a class, or if you want a chance to hear me once more explaining some point.


Notes

Follow this link for material intended to supplement the textbook. The first note gives definitions related to zero functions and estimating equations.

Other teaching materials

This link is to the paper that was the basis for my presidential address to the CEA in 2015. The first couple of sections were also the basis for much of what I said in the first lecture. And this link takes you to the slides I used for the presentation - perhaps enough for our purposes.


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