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ECO 6309
Econometrics I
University of Texas at Dallas
Spring 2007, TR 1:00-2:15, CBW 1.102
Wim Vijverberg
GR 3.805, Phone: (972)883-2042, Email: vijver@utdallas.edu
Office hours: W 11:00-1:00 and by appointment
There are no prerequisites for this class. However, recommended courses are ECO 5311, Applied
Econometrics; ECO 5309, Mathematical Economics; and ECO 6311, Statistics for Economists.
Furthermore, together with this course, students are expected to take ECO 6109/POEC 6V81,
Econometrics Lab (which differs from the Lab session discussed elsewhere in this syllabus). The
Econometrics Lab introduces Stata, a statistical/econometric computer language that enables practical
applications of the techniques discussed in this course.
Course Description
This course is the first of a two-semester graduate level study of the theory and practice of econometrics.
The course assumes a working knowledge of concepts of econometric analysis. The objective is to work
through a common set of principles, to formulate the theoretical underpinnings of various models, to
study the workings of many econometric models, to be able to recognize variants of existing models, to
develop variations of existing models that fit particular research problems.
W.H. Greene, Econometric Analysis, 5th. ed., Upper Saddle River, NJ: Prentice-Hall, 2003.
Good books for supplementary reading:
R. Davidson and J.G. MacKinnon, Estimation and inference in econometrics, Oxford Univ. Press, 1993.
R. Davidson and J.G. MacKinnon, Econometric Theory and Methods, Oxford Univ. Press, 2004
J. Johnston and J. Dinardo, Econometric Methods, 4th ed., New York: McGraw-Hill, 1997.
G.G. Judge, W.E. Griffiths, R.C. Hill, H. Lütkepohl, and T.C. Lee, Introduction to the Theory and
Practice of Econometrics, 2nd ed., New York: John Wiley and Sons, 1988
R.C. Mittelhammer, G.G. Judge, D.J. Miller, Econometric Foundations, Cambridge Univ. Press, 2000.
J.M. Wooldridge, Introductory Econometrics: A Modern Approach, Southwestern College Publ., 2000.
At a more introductory level:
D.N. Gujarati, Basic Econometrics, 3rd ed., New York: McGraw-Hill Publ. Co., 1995.
P. Kennedy, A Guide to Econometrics, 4th ed., Cambridge, MA: The MIT Press, 1998
R.S. Pindyck and D.L. Rubinfeld, Econometric Models and Economic Forecasting, 3rd ed., New York:
McGraw-Hill Book Company, 1991.
R. Ramanathan, Introductory Econometrics, with Applications, 4th ed., Dryden Press, 1998.
There will be two midterms, a final exam, and homework assignments. Class participation is expected,
which includes a demonstration of familiarity with the material to be covered that day.
Midterm 1 Tuesday, 6 February 2006.................................. 30%
Midterm 2 Tuesday, 20 March 2006.................................... 30%
Final Thursday 26 April 2006, 11:00-1:45 .................. 30%
Homework Various due dates .............................................. 10%
If the circumstances so demand, these descriptions and timelines are subject to change at the discretion
of the Professor.
Absence from any exam must be properly documented; otherwise a grade of 0 is assigned to a missed
exam. Make-up exams are scheduled within the same week for those who missed an exam with proper
documentation.
There is no extra credit work.
It is noted that the amount of time spent on homework assignments is inversely related to the amount of
time spent in preparation for the lectures and study of materials after the lectures.
Cellphones and pagers must be turned off. Recording the lecture is not permitted.
The “Lab session” is a nearly-weekly study session supervised by the TA for this course. Attendance is
voluntary. The session is unstructured. It offers an opportunity to discuss any econometric question or
problem with the TA and with other students. However, it is not a place to find out how to do the
homework assignments.