Charles B. Moss • AEB 6572 - Econometric Methods II

Mathematical Reveiw

Lecture III: Linear Algebra and Matrix Methods - Part I (January 13)
- Readings
  - ^* Anderson, T.W. 1984. An Introduction to Multivariate Statistical Analysis Second Edition. John Wiley & Sons. (Section 2.5 pp. 35-43).
  - ^* Dhryme, P.J. 2000. Mathematics for Econometrics Third Edition. Springer [Sections 2.5-2.7].
  - Frisch, R. and F.V. Waugh. 1933. Partial Time Regressions as Compared with Individual Trends. Econometrica 1(4), 387-401.
  - ^* Greene, W.H. 2012. Econometric Analysis Seventh Edition. Prentice Hall (Appendix A: Matrix Algebra pp. 973-1014).
  - ^* Moss, Charles B. 1997. Returns, Interest Rates, and Inflation: How They Explain Changes in Farmland Values. American Journal of Agricultural Economics 79(4), 1311-1318.
  - ^* Popper, K. 2010. The Logic of Scientific Discovery Routledge Classics [Chapter 3: Theories, 37-56].
  - Theil, H. 1971. Principles of Econometrics John Wiley & Sons (Chapter 1 [Sections 1.0 - 1.5]).
  - Theil, H. 1983. Chapter 1: Linear Algebra and Matrix Methods in Econometrics. In Handbook of Econometrics: Volume 1 (eds.) Zvi Griliches and Michael D. Intriligator. North-Hollad, 5-65 (Sections 1-3).
  - Theil, H. 1987. How Many Bits of Information Does an Independent Variable Yield in a Multiple Regression. Statistics & Probability Letters 6(2), 107-108.
- Background from other courses
  - Lecture XXVI: Review of Matrix Algebra and Vector Spaces AEB 6571: Econometric Methods I Notes .
  - Lecture XXVII: Vector Spaces and Eigenvalues AEB 6571: Econometric Methods I Notes .
- Overheads , Audio , MP3 Audio .
- Weekend Viewing - Commanding Heights Episode 1.
Lecture IV: Linear Algebra and Matrix Methods - Part II (January 18) .
- Readings
  - Anderson, T.W. 1984. An Introduction to Multivariate Statistical Analysis Second Edition. John Wiley \& Sons. (Chapter 13 pp. 521-549 and A.2 pp. 587-590).
  - ^* Greene, W.H. 2012. Econometric Analysis Seventh Edition. Prentice Hall. (Appendix A: Matrix Algebra pp. 973-1014).
  - ^* Dhrymes, P.J. 2000. Mathematics for Econometrics Third Edition. Springer-Verlag. (Chapter 2 [Section 2.8 - 2.12]).
  - ^* Popper, K. 2010. The Logic of Scientific Discovery Routlege Classics [Chapter 4: Falsifiability,57-73].
  - ^* Theil, H. 1971. Principles of Econometrics John Wiley \& Sons. (Chapter 1 [Sections 1.0 - 1.5]).
  - ^* Theil, H. 1983. Chapter 1: Linear Algebra and Matrix Methods in Econometrics. In Handbook of Econometrics: Volume 1 (eds.) Zvi Griliches and Michael D. Intriligator. North-Holland, 5-65. [Sections 4 - 7].
- Overheads , Audio , MP3 Audio .
- Problem Set I.A , Data in Excel .
- Sample R Code .
Lecture V: Linear Algebra and Matrix Methods in Econometrics - Part III (January 20)
- Readings
  - Anderson, T.W. 1984. An Introduction to Multivariate Statistical Analysis Second Edition. John Wiley & Sons. (A.5 pp. 603-608).
  - ^* Greene, W.H. 2012. Econometric Analysis Seventh Edition. Prentice Hall. (Appendix A: Matrix Algebra pp. 973-1014).
  - ^* Dhrymes, P.J. 2000. Mathematics for Econometrics Third Edition. Springer-Verlag. (Chapter 2 [Section 2.8 - 2.12]).
  - ^*Popper, K. 2010. The Logic of Scientific Discovery Routledge Classics [Chapter 5: The Problem of the Empirical Basis, 74-94].
- Overheads , Audio , MP3 Audio .
- Problem Set I.B .
- Weekend Viewing - Commanding Heights Episode 2.
- Sample Program , CSV file .
Lecture VI: Matrix Calculus in Econometrics - Part I (January 23) .
- Readings
  - ^* Khuri, A.I. 1993. Advanced Calculus with Applications in Statistics. John Wiley & Sons. (Chapters 3, 4, 7, and 8).
  - ^* Moss, C.B. 2010. Static and Dynamic Optimization for Agricultural and Resource Economics Draft Textbook (Chapter 2, pp. 15 - 40).
  - ^* Popper, K. 2010. The Logic of Scientific Discovery Routledge Classics. (Chapter 6: Degrees of Testability, 95-120).
- Overheads , Audio File , MP3 Audio .
- Problem Set II.A .
Lecture VII: Matrix Calculus in Econometrics - Part II (January 25) .
- Readings
  - ^* Dhrymes, P.J. 2000. Mathematics for Econometrics Third Edition. Springer-Verlag. (Chapter 5).
  - ^* Greene, W.H. 2012. Econometric Analysis Seventh Edition. Prentice Hall. (Appendix A: Matrix Algebra pp. 973-1014).
  - Magnus, J.R. and H. Neudecker. 1988. Matrix Differential Calculus with Applications in Statistics and Econometrics. John Wiley & Sons. (Chapters 8 & 9).
  - ^* Popper, K. 2010. The Logic of Scientific Discovery Routledge Classics (Chapter 7: Simplicity, 121-132).
  - Schott, J.R. 1997. Matrix Analysis for Statistics John Wiley & Sons. (Chapter 8).
- Overheads , Audio , MP3 Audio .
- Problem Set II.B .

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