J. A. Herriges

Spring 1999

Class meetings: MWF 10-11, Room 274 Heady Hall

Instructor: Dr. Joseph A. Herriges, 280D Heady Hall

Phone: 294-4964

E-mail: jaherrig@iastate.edu

Teaching Assistant: Byoung-Ky Chang (bchang@iastate.edu)

Office Hours: MW 9-10 a.m., TR 9:30-10:30 a.m., or by appointment

Class Homepage: http://www.econ.iastate.edu/classes/econ573/herriges/

Required Text: Econometrics Analysis (3^rd edition) by William H. Greene

Recommended Text:

• Davidson, R., and J. G. MacKinnon (1993), Estimation and Inference in Econometrics, New York, Oxford University Press
• Judge, G., R. C. Hill, W. E. Griffiths, H. Lütkepohl, T. Lee (1988), Introduction to the Theory and Practice of Econometrics, New York, John Wiley and Sons

Grading: The course grade is based on one midterm and one final examination as well as your performance on weekly problem sets.

Computing: We will be using TSP and GAUSS during this second half of the semester to demonstrate concepts and complete homework assignments.

Course Topics: During the last eight weeks of the semester, we will cover:

1. Nonlinear Regression Models
2. Nonspherical Disturbances
1. Generalized Least Squares (GLS) and Feasible GLS
2. Heteroskedasticity
3. Autocorrelated Errors
4. Cross-Sectional/Time Series Data
3. Seemingly Unrelated Regression Models
4. Discrete/Limited Dependent Variables
1. Binary Choice Models
2. Multivariate Choice Models
3. Truncated Variables
4. Censored Variables
5. Specification Analysis
1. Discrete and Nonlinear Regressors
2. Omitted Variables
3. Included Irrelevant Variables
4. Stochastic Regressors, Measurement Errors, and IV Estimation