Econ 672: Econometrics II (Part 1 of 2). Spring 2016
Syllabus
Professor
Prof. Oleksandr (Alex) Zhylyevskyy; email: oz9a@iastate.edu; o¢ ce phone: (515) 294-6311.
O¢ ce hours: Monday and Wednesday, 3–4pm in Heady 460D. In addition to these regular o¢ ce hours, I may also
hold o¢ ce hours by appointment; to arrange for an appointment, please send me an email request.
Teaching Assistant
TBD. The TA will administer homeworks, proctor midterms, lead lab sessions, and hold o¢ ce hours.
Class Information
Session: Monday, January 11 through Friday, March 4, 2016.
Lectures: Monday and Wednesday, 11am–12:50pm in Heady 272.
Labs: Friday, 11am–12:50pm in Heady 272.
Midterm 1 date (tentative): Monday, February 8. Midterm 2 date (tentative): Wednesday, March 2.
Class homepage is on Blackboard Learn.
Course Description
Econ 672: Part 1 is intended to provide you with an in-depth treatment of fundamental cross-sectional econometric
methods. We will study in detail large sample properties of conventional extremum estimators, such as MLE and
GMM, and standard approaches to large sample statistical inference. We will also discuss simultaneous equations
models, qualitative variable models, and simulation methods.
Prerequisites
(1) Econ 671, (2) command of matrix algebra, (3) practical knowledge of Stata.
Required Textbook
Hayashi, Fumio. 2000. Econometrics. Princeton University Press.
Supplemental Textbooks
Amemiya, Takeshi. 1985. Advanced Econometrics. Harvard University Press.
Greene, William H. 2012. Econometric Analysis, 7th ed. Prentice Hall.
Maddala, G. S. 1983. Limited-Dependent and Qualitative Variables in Econometrics. Cambridge University Press.
Newey, Whitney K. and Daniel McFadden. 1994. “Large Sample Estimation and Hypothesis Testing,” in Handbook
of Econometrics.
Note. Amemiya (1985) and Newey & McFadden (1994) provide a rigorous treatment of many course topics at an
advanced graduate level; you may refer to these books if you are interested in formal proofs.
Class Policies
Grading System. Homeworks: 40%; midterm 1: 30%; midterm 2: 30%.
Attendance. You are expected to attend all lectures and labs and are responsible for everything covered and
announced in class.
Homeworks. You are encouraged to work in study groups on homework sets, but you must submit your own solutions for grading. Homeworks will be administered by the TA, who will set all homework-related policies (including
due dates), collect and grade your solutions, and go over the solutions during the lab session. Please see the class
homepage on Blackboard for homework assignments and supplemental …les.
Midterms. Both midterms are in-class, closed-book exams. No collaboration on them is permitted. Each midterm
will consist of three or four analytical problems. Midterm 1 will cover course topics 1, 2, and 3. Midterm 2 will cover
topics 4, 5, 6, and 7. Unless there are compelling circumstances, make-ups are not allowed.
Electronic Devices. To minimize inconvenience to others, I request that you switch all personal electronic devices,
including your cell phone, to silent mode while in class. You are welcome to use a notebook, tablet, or other
Last modi…ed on December 5, 2015
Page 1 of 2
Econ 672: Econometrics II (Part 1 of 2). Spring 2016
Syllabus
suitable device to type/write your lecture notes. I reserve the right to direct you to turn o¤ any device that is not
being used for class purposes.
Copyright. You may not sell lecture notes or any other posted course materials. You may not video- or audio-record
any part of a class without my explicit permission. Copyright violations may be subject to legal action.
Academic Dishonesty. The class will follow ISU’s policy on academic dishonesty. Anyone suspected of academic
dishonesty will be reported to the Dean of Students O¢ ce.
Students with Disabilities. Iowa State University is committed to assuring that all educational activities are free
from discrimination and harassment based on disability status. All students requesting accommodations are required
to meet with sta¤ in Student Disability Resources (SDR) to establish eligibility. A Student Academic Accommodation
Request (SAAR) form will be provided to eligible students. The provision of reasonable accommodations in this
course will be arranged after timely delivery of the SAAR form to the instructor. Students are encouraged to
deliver completed SAAR forms as early in the semester as possible. SDR, a unit in the Dean of Students O¢ ce, is
located in room 1076, Student Services Building or online at www.dso.iastate.edu/dr/. Contact SDR by email at
disabilityresources@iastate.edu or by phone at 515-294-7220 for additional information.
Harassment and Discrimination. ISU strives to maintain its campus as a place of work and study for faculty,
sta¤, and students that is free of all forms of prohibited discrimination and harassment based upon race, ethnicity,
sex (including sexual assault), pregnancy, color, religion, national origin, physical or mental disability, age, marital
status, sexual orientation, gender identity, genetic information, or status as a U.S. veteran. Any student who has
concerns about such behavior should contact me, Student Assistance at 515-294-1020 or email dso-sas@iastate.edu,
or the O¢ ce of Equal Opportunity at 515-294-7612.
Religious Accommodation. If an academic or work requirement con‡icts with your religious practices and/or
observances, you may request reasonable accommodations. Your request must be in writing, and I will review it.
You/I may also seek assistance from the Dean of Students O¢ ce or O¢ ce of Equal Opportunity.
Contact Information. If you are experiencing, or have experienced, a problem with any of ISU’s academic policies,
email academicissues@iastate.edu.
Course Outline
1.
2SLS
Topic
Required Readings
Hayashi: Ch. 2, pp. 109-117; Ch. 3, pp. 226-234
2.
MLE
Hayashi: Ch. 7, pp. 446-487
3.
GMM
Hayashi: Ch. 3; Ch. 7, pp. 446-487
4.
Wald, LR, and LM tests
Hayashi: Ch. 7, pp. 487-497
5.
Simultaneous equations
Hayashi: Ch. 8, pp. 526-543a
6.
Qualitative variable models
Hayashi: Ch. 8, pp. 507-511, 518-521
7.
Simulation methods
Hayashi: Ch. 1, pp. 81-84b
Notes:
a
Hayashi’s coverage of this topic is not ideal for our purposes. You are advised to consult another textbook, e.g.,
Greene: Ch. 10, pp. 314-337.
b
Hayashi’s coverage of this topic is insu¢ cient. You are advised to consult another textbook, e.g., Greene: Ch. 15,
pp. 603-611, 615-627.
Your continued enrollment in the course indicates your agreement with all stipulations laid out in this syllabus. The
syllabus may be subject to change without prior notice, but any modi…cations will be promptly announced in class or
posted on Blackboard.
Last modi…ed on December 5, 2015
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