B30.3351: Econometrics I
Problem Sets
Professor W. Greene
Department of Economics
Office: MEC 7-78, Ph. 998-0876, Fax. 995-4218
e-mail: wgreene@stern.nyu.edu
WWW: http://stern.nyu.edu/~wgreene
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Abstract: This is an intermediate level, Ph.D. course in Applied Econometrics. Topics to be studied include specification, estimation, and inference in the context of models that include then extend beyond the standard linear multiple regression framework. After a review of the linear model, we will develop the asymptotic distribution theory necessary for analysis of generalized linear and nonlinear models. We will then turn to instrumental variables, maximum likelihood, generalized method of moments (GMM), and two step estimation methods. Inference techniques used in the linear regression framework such as t and F tests will be extended to include Wald, Lagrange multiplier and likelihood ratio and tests for nonnested hypotheses such as the Hausman specification test and Davidson and MacKinnon's J test. Specific modelling frameworks will include the linear regression model and extensions to models for panel data, multiple equation models, and models for discrete choice.
Notes: The following list points to the problem sets assigned for Econometrics I. These are Microsoft Word document files.
Assignment 1:
Conditional Means and Regression Models (Solutions)
Assignment 2:
Least Squares (Solutions)
Goldberger's Comment on Leff's Regressions
Leff's Response to Goldberger's Comments
Assignment 3:
Least Squares, Constrained Least Squares, ANOVA, and Regression Fit
(Solutions)
Assignment 4:
Regression Modeling
Data
for Assignment 4: Regression Modeling
Assignment 5:
Hypothesis Tests and Prediction (Solutions)
Assignment 6:
Asymptotics for Least Squares and the Classical Regression Model
(Solutions)
Assignment 7:
Generalized Regression, Heteroscedasticity and Autocorrelation (Solutions)
Assignment 8:
Maximum Likelihood Estimation
Data
for Assignment 8: Maximum Likelihood Estimation (Solutions)
Fall 2005
Midterm Exam with Solutions.
Fall 2005
Take Home Final Exam.
Fall 2007
Take Home Final Exam.
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