Readings are also listed by session.
Required Texts
Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001. ISBN: 0262232197.
Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002. ISBN: 0130661899.
Other Useful References
Econometrics. Journal of Political Economy articles.
Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000. ISBN: 0195111648.
Hayashi, F. Econometrics. Princeton, NJ: Princeton University Press, 2000. ISBN: 0691010188.
Peracchi, F. Econometrics. New York, NY: John Wiley and Sons, Ltd., 2001. ISBN: 0471987646.
Amemiya, T. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985. ISBN: 0674005600.
Mood, Alexander M., and Franklin A Graybill. Introduction to the Theory of Statistics. New York, NY: McGraw-Hill, 1974. ISBN: 0070428646.
Rao, C. R. Linear Statistics Inference (Advanced Statistics of Linear Models). 2nd ed. New York, NY: Wiley-Interscience, 2002. ISBN: 0471218758.
Griliches, Z., and Intriligator, M. Handbook of Econometrics. Vol. 1-3. Amsterdam, Holland; New York, NY: North-Holland, 1983. ISBN: 0444861882. (Handbook)
Berndt, E. R. The Practice of Econometrics. Reading, MA: Addison-Wesley, 1991. ISBN: 0201176289.
Goldberger, A. A Course in Econometrics. Cambridge, MA: Harvard University Press, 1991. ISBN: 0674175441.
Readings by Session
| Week # | Topics | Readings |
|---|---|---|
| 1 | Introduction: The Methods and Applications of Econometrics |
Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, pp. 1-2. ISBN: 0195111648. Griliches, Z., and Intriligator, M. Handbook of Econometrics. Vol. 1-3. Amsterdam, Holland; New York, NY: North-Holland, 1983, chapter 3. ISBN: 0444861882. (Handbook) Koopmans, T. C. Three Essays on the State of Economic Science. New York, NY: McGraw-Hill, 1957, pp. 197-206. |
| 2-4 | Multiple Regression, the Linear Statistical Model, Tests of Hypothesis |
Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002, chapters 2-4 and 6-8. ISBN: 0130661899. Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapter 4.1. ISBN: 0262232197. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapters 6, 8-9, 11, and 17.2. ISBN: 0195111648. Rose, N. L. "Labor Rent Sharing and Regulation." Journal of Political Economy 95, no. 6 (1987): 146-1178. |
| 5 | Large Sample Statistical Theory: Consistency, Asymptotic Normality, and Efficiency |
Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapters 3, 4.2.1, and 4.2.2. ISBN: 0262232197. Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002, chapters 5.1-5.3, 17.4-17.6, and Appendix D. ISBN: 0130661899. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapters 13.4, 15.2-15.5, and 17.3. ISBN: 0195111648. White, H. Asymptotic Theory for Econometricians. Orlando, FL: Academic Press, 1984, chapters 2, 3, 4, and 5, pp. 29-36, 61-78, and 107-115. ISBN: 0127466509. Newey, W. "Asymptotic Theory of Least Squares." Working Paper, Cambridge, MA: Massachusetts Institute of Technology. |
| 6 | Heteroskedasticity, Autocorrelation, and Robust Variance Estimation |
Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002, chapters 10.1-10.3, 11.1-11.2, and 12.1-12.5. ISBN: 0130661899. Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapter 4.2.3. ISBN: 0262232197. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapters 18.2-18.4, and 19.2-19.5. ISBN: 0195111648. White, H. "A Heteroskedasticity - Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity." Econometrica 48, no. 4 (May 1980): 817-838. Newey, W., and West, K. "A Simple, Positive - Definitive Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica 55 (1987): 703-708. |
| 7 | Review | |
| 8-9 | Generalized Least Squares, Heteroskedasticity and Serial Correlation |
Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapters 11.3, 11.4, 12, and 13. ISBN: 0262232197. Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002, chapters 10, 11, and 12. ISBN: 0130661899. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapters 18.5 and 19.6. ISBN: 0195111648. Amemiya, T. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985, pp. 181-196 and 198-207. ISBN: 0674005600. |
| 10-11 | Nonorthogonality of Regressors and Errors: Correlation Between Regressors and Errors, Errors in Variables, Instrumental Variables and Specification Tests |
Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapters 4.3, 4.4, 5, and 6.2. ISBN: 0262232197. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapter 20. ISBN: 0195111648. Hausman, J. "Specification Tests in Econometrics." Econometrica 46, no. 6 (1978): 1251-1271. Card, D. "Estimating the Return to Schooling: Progress on Some Persistent Econometric Problems." Econometrica 69, no. 5 (2001): 1127-1160. Griliches, Z., and M. Intriligator. Handbook of Econometrics. Vol. 1-3. Amsterdam, Holland; New York, NY: North-Holland, 1983, chapter 23. ISBN: 0444861882. (Handbook)Griliches, Z. "Estimating the Returns to Schooling: Some Econometric Problems." Econometrica 45 (1977): 1-22. |
| 12 | Panel Data |
Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapter 10. ISBN: 0262232197. Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002, chapter 13. ISBN: 0130661899. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapter 24. ISBN: 0195111648. Hausman, J., and J. Taylor. "Panel Data and Unobservable Individual Effects." Econometrica 46 (1981). Griliches, Z., and J. Hausman. "Errors in Variables in Panel Data." Journal of Econometrics 31 (1986): 98-118. Amemiya, T. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985, pp. 207-218. ISBN: 0674005600. Griliches, Z., and M. Intriligator. Handbook of Econometrics. Vol. 1-3. Amsterdam, Holland; New York, NY: North-Holland, 1983, chapter 22. ISBN: 0444861882. (Handbook) |
| 13-14 | Nonlinear Specifications, Limited Dependent Variables and Maximum Likelihood Estimation |
Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press, 2001, chapters 15, 16, and 20. ISBN: 0262232197. Greene, W. H. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice Hall, 1999, 2002, chapters 9, 21, and 22. ISBN: 0130661899. Ruud, P. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000, chapter 27-28. ISBN: 0195111648. Amemiya, T. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985, pp. 127-135, 141-146, and 105-127. ISBN: 0674005600. Hausman, J. "Mismeasured Variables in Econometric Analysis: Problems from the Right and Problems from the Left." Journal of Economic Perspectives 54, no. 4 (2001): 57-67. Hausman, J., F. Scott-Morton, and J. Abrevaya. "Misclassification of a Dependent Variable in Qualitative Response Models." Journal of Econometrics (1998). Hausman, et al. "Econometric Models for Count Data with an Application to the Patents R&D Relationship." Econometrica 52 (1984). Berndt, E. R. The Practice of Econometrics. Reading, MA: Addison-Wesley, 1991, chapter 11. ISBN: 0201176289. |
| 15 | Review |