Indiana University Bloomington

Economics E572
Econometrics Il - Regression / Time Series

Contact: Yoosoon Chang (yoosoon@indiana.edu) 10-25-2012
Offered: Spring, Every Year
Capacity: 25
Sequence: 2nd course in the 3-course core econometrics sequence
Pre-Requisites: Econ 571 (Econometrics I - Statistical Foundations)
Algebra Required: Yes, extensively used for notation, proofs and also for assignments.
Calculus Required: Assumed.
Contact Person for Authorization: No authorization required for those who have taken the prerequisite E571 (Econometrics I - Statistical Foundations), all others need the instructor's approval.
Instructor: Yoosoon Chang
Days Per Week Offered: Two lectures a week
Website: http://oncourse.iu.edu
Recommended follow-up classes: E672-Time Series, E724-Financial Econometrics and other econometrics topics courses.
Syllabus: Download Syllabus
Keywords: Univariate and multivariate linear regressions, seemingly unrelated regressions, analysis of panel data models, and simultaneous equation models.
Description: This course is the second course in the three-semester core econometrics sequence for the economics Ph.D. students. The course is intended to teach extensively and rigorously the linear models, covering classical single equation models, multivariate regression models, seemingly unrelated regressions, panel data models, and simultaneous equation models. Basic time series models are also covered.
Books: Hayashi (2000) - Econometrics; Green (2011) - Econometrics Analysis; Wooldridge (2008) - Econometric Analysis of Cross-section and Panel Data.
Substantive Orientation: Finance, marketing, managment science, statistics, applied mathematics, and SPEA and HPER (with strong math background)
Statistical Orientation: Classical approach
Applied/Theoretical: Theoretical, but empirical exercises are also given.
Software: None
How Software is Used: For empirical assignments. Matlab (recommended, but students may use other softwares if they so desire)
Problem Sets: Yes
Data Analysis: Yes
Presentation: No
Exams: Yes - 2 midterms and final.
Comments: Other comments