ECO 6310 – Econometrics II – Fall 2005. Page 1 of 3.

Syllabus ECO 6310: Econometrics II

Fall 2005, Tuesday, Thursday 2:00-3:15 p.m.
Room: CBW1.201
Professor Magnus Lofstrom

Office: GR 3.522
Phone: (972) 883-4763
E-mail: lofstrom@utdallas.edu
Office Hours: Thursday 3:30-5:00 p.m. and by appointment.

Course Description and Objectives:

This is the second core course in the econometrics sequence of the economics
PhD program. The course will extend the topics covered in the first course and
will cover topics such as panel data, simultaneous equations, maximum likelihood
and GMM estimation. We will also cover discrete choice models, limited
dependent variable models and duration models.

Prerequisites:
Econometrics I (ECO 6309) or equivalent.

Academic Honesty:
Scholastic dishonesty is taken very seriously and will not be tolerated. Cheating
on exams, plagiarism, or any other form of academic dishonesty is unacceptable.
The penalty for academic dishonesty is, at a minimum, a zero grade for the
examination or assignment in question and a failing course grade. Also, the
incident will be reported to the Dean of Students and will become part of your
record. (More information at: www.utdallas.edu/student/slife/dishonesty.html).

Required Text:
Greene, William H. Econometric Analysis, 5th ed., Upper Sadle River, NJ:
Prentice-Hall, 2003

Recommended Texts:
Davidson, Russell and James G. MacKinnon, Econometric Theory and Methods,
Oxford University Press, 2004.

Johnston, Jack and John Dinardo, Econometric Methods, 4th ed., New York:
McGraw-Hill, 1997.

Wooldridge, Jeffrey M. Econometric Analysis of Cross Section and Panel Data,

MIT Press, 2002.

Another useful reference source is the Handbook of Econometrics, Volumes 1-4

are available online at http://www.elsevier.com/hes/books/02/menu02.htm
 ECO 6310 – Econometrics II – Fall 2005. Page 2 of 3.

Exams and Grading:

There will be two in-class midterms and a final. The midterms are each worth
25% of your grade and the final counts for 35%. There will also be three
homework assignments each worth 5%. The midterms are scheduled for Tuesday,
September 27 and Tuesday November 1.The final is on Tuesday, November
29. All assignments and exams count towards your final grade. No make-ups will
be given and no late assignments will be accepted.

Tentative Topics: (This is subject to change. Any changes will be announced in

class.)

1. Panel Data. (Greene Ch 13)

(i) Fixed Effects
(ii) Random Effects
(iii) IV Estimation of Random Effects
(iv) Dynamic Panel Data
(v) Covariance Structure

2. Systems of Regression Equations (Greene Ch 14)

(i) Seemingly Unrelated Regressions

3. Maximum Likelihood Estimation (Greene, Ch 17)

(i) Likelihood Functions
(ii) Principle of MLE
(iii) Properties
(iv) Estimating the Asymptotic Variance of MLE
(v) Hypothesis Testing
(vi) Applications

4. Simultaneous Equation Models (Greene, Ch. 15)

(i) SEM Bias
(ii) Identification
(iii) SEM Estimation Methods

5. The Generalized Method of Moments (GMM) (Greene, Ch 18)

(i) Method of Moments
(ii) Generalized Methods of Moments
(iii) Properties
(iv) Validity Tests
(v) Applications

6. Models for Discrete Choice (Greene, Ch. 21)

(i) Binary Choice
(ii) Multiple Choice
(iii) Count Data Models
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7. Limited Dependent Variable and Duration Models (Greene, Ch 22)

(i) Truncation
(ii) Censored Data
(iii) Sample Selection Model
(iv) Duration Models

Final: Tuesday, November 29, 2:00 p.m. - 4:45 p.m.