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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 Wednesdays and those Mondays that are not public holidays. Towards the end of the term, there will be makeup classes at times that only Minerva knows about. The class time is 11.30-13.00, and of course we meet via Zoom.

https://mcgill.zoom.us/j/99184789475

Meeting ID: 991 8478 9475

Now that we have had our last class, I can tell you definitively that the material to be covered for the final exam is all of the revised textbook, with one small exception. The subsection entitled "A Simple Example" in section 8.4 is omitted.

This link is for the Midterm Exam. It is due on Monday October 19, at or before 13.00 Montreal time.

Click here for the data set to be used for the exam.

The exam office has by now issued the definitive schedule for exams this December. The slightly updated information is that the exam will be made available at 18.30 on December 10, and must be submitted to myCourses by 18.30 on December 12. These are both Montreal times, and so be careful to take account of your own timezone if it is different.

The midterm has been scheduled for Monday October 19. I had thought that McGill had some guidelines for dealing with exams when people are in different time zones, but it seems not. I have therefore completely revised my plans for the exam. To start at the end: completed exams should be uploaded to myCourses as if the exam were another assignment. Whatever worked for you for the assignment will work as well for the midterm. The exam itself, and a link to the data to be used, will appear on the webpage around 13.00 on Sunday the 18th, Montreal time. The completed exam is then to be uploaded by 13.00, again Montreal time, on the 19th. This gives you a full 24 hours to complete the exam, and I think that should be possible for everyone, wherever they may be. (If not, please send me an email.) It's obviously impossible to impose a time limit in these circumstances, and so I won't try. I remind you, though, that the exam you submit must be all your own work. You must not seek help from anyone else, a fellow student or otherwise. This reminder will appear at the beginning of the exam as well. Work hard, and good luck to everyone!

Since you will not be writing the exam in class time, class will meet as usual on Monday the 19th. We have already lost two Mondays, with Labour Day and Thanksgiving Day, and by having a class on the 19th we will have less catching up to do at the end of the term.

Our TA is Jean-Fran├žois Fournel. His virtual office hours are as follows:

Monday, 9:30am - 10:30am - Wednesday, 10:30am - 11:30am

https://mcgill.zoom.us/j/5956336119

Meeting ID: 595 633 6119

The midterm exam will cover the material treated in class up to and including October 7. This means up to and including all but the last subsection of Section 4.3 in the revised textbook.

Follow this link to see last year's midterm. But note that this year the format will be quite different, since we are never physically together in a classroom.


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 URL of the website for Econometric Theory and Methods is not what is given in the book itself at the end of the Preface. Instead it is https://qed.econ.queensu.ca/ETM/.

Although the plan for a second edition of the textbook has been abandoned, I am in the process of updating those chapters of the book that are covered in this course. The first few chapters of this revision are available here. Note that the revision is under active development, and will change very regularly. Be sure to get the latest revision.

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.

A venerable software package for econometrics, and statistics more generally, is Stata. This file gives you information on how to get it for yourself.

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

Recordings

Assignments:


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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