Charles B. Moss • AEB 6571 Econometric Methods II

Ordinary Least Squares

Lecture VIII: Derivation of the Least Squares Model (January 27) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 3).
  - ^*Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 5).
  - Hayashi, F. 2000. Econometrics Oxford University Press (Section 1.2 - 1.4 pp. 15-46).
  - Moss, C.B. 2012. Mathematical Statistics for Applied Econometrics Draft Textbook Website: pdf . (Chapter 10, pp. 149 - 159).
  - ^*Popper, K. 2010. The Logic of Scientific Discovery Routledge Classics (Chapter 8: Probability, 133-208).
  - Theil, H. 1971. Principles of Econometrics John Wiley & Sons. (Chapter 3).
- Overheads , Audio , MP3 Audio .
- Overheads after Mittelhammer Seminar , Rwanda Small Data , R - Logit .
- Gauss Code - Example 01-25-12 , Excel Data , ASCI Data.
- Problem Set II.C .
- Weekend Viewing - Commanding Heights Episode 3 .
Lecture IX: Best Linear Unbiased Estimator (January 30) .
- Readings
  - ^*Amemiya, T. 1994. Introduction to Statistics and Econometrics. Harvard University Press. (Chapter 12).
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 4.1-4.3 pp. 51 - 63).
  - ^*Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 5).
  - Hayashi, F. 2000. Econometrics Oxford University Press (Section 1.5 pp. 47-54).
  - ^*Moss, C.B. 2012. Mathematical Statistics for Applied Econometrics Draft Textbook Website: pdf File . (Chapter 10, pp. 155 - 164).
  - ^*Popper, K. 2010. The Logic of Scientific Discovery Routledge Classics [Chapter 10: Corroboration, or How a Theory Stands Up to Tests, 248-282].
- Overheads , Audio , MP3 Audio .
- Problem Set III.A .
- Homework Help for Problem Set II , R Code .
Lecture X: Applying Ordinary Least Squares on the Computer - R (February 1) .
- Readings
  - ^*Farnsworth, G.V. 2008. Econometrics in R. (http://cran.r-project.org/doc/contrib/Farnsworth-EconometricsInR.pdf).
  - ^*Kleiber, C. and A. Zeileis. 2008. Applied Econometrics with R (Use R!). Springer.
  - ^*Moss, C.B., G. Livanis, and A. Schmitz. 2010. The Effect of Increased Energy Prices on Agriculture: A Differential Approach. Journal of Agricultural and Applied Economics 42(4), 711-718. pdf File .
- Overheads , Audio , MP3 Audio .
- Example R Program , Dataset .
- Moss, C.B. and A.K. Mishra. 2011. Imputing Missing Information in the Estimation of Production Functions and Systems. American Journal of Agricultural Economics 93(2), 619-626. Oxford Journals .
  - Overheads , General Imputation , Missing Sample Code , Fertilizer Data .
- Problem Set III.B .
Lecture XI: Applying Ordinary Least Squares on a Computer - Gauss ( February 3) .
- Readings
  - ^*Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapters 1 - 2).
  - ^*Morgan, M.S. 1992. The History of Econometric Ideas. Cambridge University Press. (Chapter 1: Sunspots and Venus Theories of the Business Cycle pp. 18 - 39).
- Overheads , Audio , MP3 Audio .
- Gauss Program , Dataset .
- Problem Set III.C .
Lecture XII: Applying Ordinary Least Squares on a Computer - Stata ( February 6) .
- Readings
  - ^*Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapters 3).
  - ^*Morgan, M.S. 1992. The History of Econometric Ideas. Cambridge University Press. (Chapter 2: Measuring and Representing Business Cycles pp. 40 - 72).
- Overheads , Audio , MP3 Audio .
- Gauss Program , Stata Program , Stata Dataset .
- Problem Set IV.A .
Lecture XIII: Testing Ordinary Least Square Results in the Small and Large - Normality in Small Samples ( February 8) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 4, Section 4.3, pp. 63-87).
  - ^*Morgan, M.S. 1992. The History of Econometric Ideas. Cambridge University Press. (Chapter 3: Random Shocks Enter the Business Cycle pp. 73 - 100).
  - ^*Theil, H. 1971. Principles of Econometrics John Wiley & Sons. (Chapter 3 Section 3.7).
- Overheads , Audio , MP3 Audio .
- Problem Set IV.B .
Lecture XIV: Testing Ordinary Least Square Results in the Small and Large - Asymptotic Results ( February 10) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 4 Sections 4.4-4.3 pp. 63 - 87).
  - ^*Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 6).
  - ^*White, H. 2000. Asymptotic Theory for Econometricians Revised Edition. Academic Press.
- Overheads , Audio , MP3 Audio .
- Problem Set IV.C , GammaReg.dta , GammaSim.gau .
Lecture XV: Testing Ordinary Least Square Results in the Small and Large - Asymptotic Normality ( February 13) .
- Readings
  - Folland, G.B. 2000. Fourier Analysis and its Applications. American Mathematical Society.
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 4 Sections 4.4-4.3 pp. 63 - 87).
  - ^*Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 6).
  - ^*Morgan, M.S. 1992. The History of Econometric Ideas. Cambridge University Press. (Chapter 4: Tinbergen and Macrodynamic Models pp. 101-130).
  - Theil, H. 1971. Principles of Econometrics John Wiley & Sons. (Chapter 8).
  - ^*White, H. 2000. Asymptotic Theory for Econometricians Revised Edition. Academic Press.
- Overheads , Audio , MP3 Audio .
- Problem Set V.A .
Lecture XVI: Testing Linear Restrictions - Restricted Least Squres( February 15) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 5 Section 5.1 - 5.2 pp. 108 - 112).
  - ^*Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 7).
  - ^*Morgan, M.S. 1992. The History of Econometric Ideas. Cambridge University Press. (Chapter 6: The Evolution of Identification Questions pp. 162-190).
- Overheads , Audio , MP3 Audio .
- Breusch, T.S. and A.R. Pagan. 1980. The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. Review of Economic Studies 47(1), 239-253. JSTOR .
- Engle. R.F. 2004. Chapter 13: Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics. Handbook of Econometrics Volumne 2, 775-826. Science Direct .
- Problem Set V.B .
Lecture XVII: Testing Linear Restrictions - General Types of Tests( February 17) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 5 Section 5.3 - 5.7 pp. 114 - 133).
  - ^*Engle, R.F. 2004. Chapter 13: Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics. Handbook of Econometrics Volumne 2, 775-826. Sciencedirect .
- Overheads , Audio , MP3 Audio .
- Moss, C.B., K.W. Erickson, V.E. Ball, and A.K. Mishra. 2003. A Translog Cost Function Analysis of U.S. Agriculture: A Dynamic Specification. Working Paper pdf , Excel Data .
- Gauss Program , Data for Gauss Code , Stat do File , Stata Data .
- Problem Set V.C .
Sample Test ( February 20)
- pdf Document .
- AgPrices.xls .
Midterm Test ( February 22)
- Midterm Examination .
- Data for Gauss Code , Explanation of Data .
- AgCredit Excel .

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