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School of Management
MEco 7320 Professor Yexiao Xu
Advanced Econometrics Spring 2005
Course Syllabus
Course Objectives:
Quantitative skills have become increasingly important in many field of science. Econometrics
provides horsepower in economics to deepening our understanding of economic theory and
facilitates policy implementation. In order for the course to be self-contained, some of the materials
will overlap with an introductory course you might have taken. However, this course puts more
emphases on econometrics theory and extends in two dimensions. First, there will be more rigorous
treatment on the classical topics such as the Gauss-Markov theorem and relaxation to basic
assumptions underlying the theorem. This is important since no practical econometric problems are
exactly the same. In your future creative research, you will likely to build your own theory and be
able to test it using your econometric skills. You will also be able to read academic journals on the
new development of econometric theory that can be applied to your field. Second, we will cover
additional topics, such as nonlinear regression, GMM, two stage estimation method, limited
dependent variable model, unit root testing, ARCH and GARCH models, Bayesian estimation, etc.
The course should not only provide a solid understanding of these techniques and theory, but also
enable you to expand your econometrics skill on your own or through additional reading of current
econometrics journals. Therefore, a thorough understanding of econometric theory is crucial
towards a successful completion of this course. Homework problems will be assigned for each new
topic discussed in order to enhance your understanding and provide “hands-on” experience with the
techniques and computer software.
Texts:
ECONOMETRIC ANALYSIS, fifth Edition, William H. Greene
References:
Johnston, J. and John DiNardo, Econometric Methods
Judge and Hill, TheTheory and Practice of Econometrics
Maddala, Limited-Dependent and Qualitative Variables in Econometrics
James D. Hamilton, Time Series Analysis
Pagan and Ullah, Nonparametric Econometrics
Course Requirements:
You need to have graduate level of statistics course (e.g. Stat 5311) or equivalent and introductory
econometrics course (e.g. Meco 6320) in order to sign up for this course. There will be one lecture
(Monday 9:30-12:15) per week. In addition, I will hold my office hours on Monday from 5:00PM to
6:30PM, or by appointment. My office is located in SM3.812 on the new School of Management
Building. I can be reached by phone at ×-6703 or by email at yexiaoxu@utdallas.edu.
Like any other quantitative courses, it is crucial to understand theory by doing exercise. Therefore,
homework assignments are mandatory. As a Ph.D student, you need to allocate your time wisely.
No late homework will be accepted, and there is no makeup exam. Data used in the problem sets can
be downloaded from my website: http://www.utdallas.edu/~yexiaoxu . You also need to have
working knowledge of any statistical software. From my experience, I strongly recommend you
using GAUSS, or MATLAB. You can download MATLAB from the P: network drive and installed
in you office PC. Here is a good site to get you started on MATLAB
http://spicerack.sr.unh.edu/~mathadm/tutorial/software/matlab/vector.html . You may also want to
look at the following link http://www.indiana.edu/~statmath/math/matlab/links.html . There will be
one midterm and a final plus regular problem sets. The grading breakdown is as follows:
Homework 30%
Midterm (I) 30%
Final 40%
Course Outline:
Jan 10 Course Organization and Background Review
Lecture 1 Linear algebra, matrix theory, asymptotic theory, parameter estimator, statistical
distribution, useful theorem
Appendix: A, B, C, and D
May 02 Final
University of Texas at Dallas
School of Management
MEco 7320 Professor Yexiao Xu
Advanced Econometrics Spring 2005
About Yourself
In order for me to better organize the course, and to adapt the materials to your background,
would you please tell me more about yourself?
Your Background
Your Comments: