Topics in Econometrics

Fall 2005

 

Guillaume Fréchette

Office 427

110 Fifth Avenue

frechette@nyu.edu

 

Course Number: V31.-0380

Time: Mondays and Wednesdays 11:00AM-12:15PM

Location: TISC UC57

Office Hours: Tuesday 9-11 or by appointment

 

Recitations

Neslihan Uler

Thursdays 06:20PM-07:35PM 25W4 C-6

Fridays 11:00AM-12:15PM 25W4 C-6

 

Introduction

 

The goal of this course will be to ultimately study econometric techniques for panel data, limited dependent variables, and program evaluation. However, to get there, an important part of the class will cover elementary concepts in econometrics such as causality vs. correlations, ordinary least squares… The class will also have a strong focus on the applied side and the actual practice of econometrics; this will involve using data and performing estimation in a standard computer package (namely Stata).

 

Grades

 

You will be graded in this course on the basis of several factors. First, there will be four to five problem sets which will constitute 30% of your grade. In addition, you will have a midterm and final which will count for 30% and 40% of your grade respectively.

 

To summarize:

Problem sets                                                                 30%

Midterm                                                                       30%

Final                                                                             40%

 

Texts and readings

 

J.M. Wooldridge, Introductory Econometrics, 3rd Edition, South-Western (2005).

 

Additional readings will be distributed in class.

 

Course outline

 

  1. Introduction

 

  1. Regression with Cross-Sectional Data

 

    1. Simple Regression Model
    2. Estimation
    3. Inference
    4. OLS Asymptotics
    5. Further Issues

 

  1. Panel Data

 

  1. Instrumental Variables

 

  1. Limited Dependent Variable

 

  1. Program Evaluation