Mathematical Statistics for Applied Econometrics

This course develops statistical foundations that will be used in microeconomic theory, econometrics, production economics, and financial economics.The development focuses primarily on the mathematical formulation of statistics.

Two lectures meet on Monday and Wednesday. Grades in the course will be assigned based on weekly homework and three examinations.

Textbooks: There are two primary textbooks used in this course:

Amemiya, Takeshi Introduction to Statistics and Econometrics (Cambridge, Massachusetts: Harvard University Press, 1994).
Mittelhammer, Ron C. Mathematical Statistics for Economics and Business (New York: Springer-Verlag, 1996).

My lectures notes have been published as a textbook form CRC Press. Other materials such as lecture notes will be made available on the Internet at http://ricardo.ifas.ufl.edu/aeb5515.mathstat/syllabus.html.

Homework	15%
Two Mid Term Examinations	50%
Final Examination	30%
Class Participation	5%

Homework will be due in a week increment. Each assignment will be handed out at the beginning of each increment and will involve topics covered over that time span. For example, the first assignment will involve the derivation of the first and second order necessary conditions for an unconstrained mathematical formulation.

Outline

Introduction to Statistics, Probability and Econometrics.
Random Variables and Probability Distributions.
Moments and Moment Generating Functions.
Binomial and Normal Random Variables.
Test I - October 4
Large Sample and Asymptotic Theory.
Point Estimation.
Interval Estimation.
Testing Hypotheses.
Test II - November 22
Elements of Matrix Analysis.
Bivariate and Multivariate Regression.
Final

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