National Chengchi University
Department of Public Finance
Course Outline
Econometric Methods I [ 計量方法 ( 一 )]
Wednesday 567 綜合 270308
Fall 2000 ( 八十九學年度第一學期 )
Instructor Information
Chi-ang Lin ( 林其昂 )
Office phone: 2938-7296 or 50940 ( 校內分機 )
E-mail: calin@nccu.edu.tw
Website: http://pf.nccu.edu.tw/FACULTY/calin/index.htm
Office: 綜合 270940
Hours: 10:30-11:30 Tues. & Thurs. (Other times by appointment.)
Course Description
This course is a matrix-based introduction to econometrics for graduate students. This course begins with (1) a review of basic statistical theory and then proceeds to (2) the essentials of estimation and inference in the classical linear regression model. The remainder of the course deals with (3) the problem of violations of basic assumptions of the classical linear regression model and (4) asymptotic distribution theory. Also,
(5) specification tests, (6) time series analysis and (7) nonlinear estimation techniques will be briefly introduced.
Prerequisites
This course is intended for graduate students with a solid background in statistics and a working knowledge of matrix algebra. Thus, it is preferable that students have taken mathematical statistics and/or mathematical economics prior to this course.
Required Text
Dougherty, Christopher.
Introduction to Econometrics . New York: Oxford
University Press, 1992. (your own reading)
Johnston, Jack and DiNardo, John. Econometric Methods , 4th edition. New York:
McGraw-Hill, 1997, and one accompanying computer diskette. (JD hereinafter)

2
Books on Reserve
1.
Davidson, Russell and MacKinnon, James G. Estimation and Inference in
Econometrics . New York: Oxford University Press, 1993. (DM hereinafter)
2.
Greene, William H. Econometric Analysis , 4th edition. Upper Saddle River, New
Jersey: Prentice-Hall, 2000. (main reference text)
3.
Intriligator, Michael D.; Bodkin, Ronald G. and Hsiao, Cheng. Econometric
Models, Techniques, and Applications , 2nd edition. Upper Saddle River, New
Jersey: Prentice-Hall, 1996.
4.
Maddala, G. S. Introduction to Econometrics , 2nd edition. New York: Macmillan,
1992.
5.
White, Halbert. Asymptotic Theory for Econometricians.
Orlando, Florida:
Academic Press, 1984.
Grading Policy
Grades will be determined on the basis of the student’s performance on two problem sets and two open-book exams. The problem sets consist of theoretical and empirical exercises. Each problem set will be weighted at 10%. The exams will be weighted at
40% each.
Topics
I. Review of Matrix Algebra, Probability and Statistics
A. Elements of Matrix Algebra
* JD: Appendix A; * Greene: Ch. 2
B. Random Variables and Probability Distributions
* JD: Appendix B; * Greene: Ch. 3
C. Estimation and Hypothesis Testing
* Greene: Ch. 4.3, 4.8, 4.9
** Kmenta, Jan. Elements of Econometrics, 2nd edition. New York: Macmillan,
1986. Ch. 5, 6. (your own review)

II.
Classical Linear Regression Model (CLRM)
A. Single Equation Regression Model
B. Least-Squares Estimators and Their Distributions
C. Inference in the CLRM
D. General Linear Restrictions
E. Tests of Structural Change
* JD: Ch. 3, 4.3-4.5; * Greene: Ch. 6.1-6.6, 7.1-7.6
** Fisher, Franklin M. “Tests of Equality Between Sets of Coefficients in Two
Linear Regressions: An Expository Note.” Econometrica , March 1970,
38(2), pp. 361-66. (recommended reading)
F. Dummy Variables
* JD: Ch. 4.6; * Greene: Ch. 8.2
G. Multicollinearity
* Greene: Ch. 6.7
III.
Generalized Least Squares Estimation
A. Heteroscedasticity
B. Autocorrelation
* JD: Ch. 6; * Greene: Ch. 12, 13
** White, Halbert. “A Heteroskedasticity-Consistent Covariance Matrix
Estimator and a Direct Test for Heteroskedasticity.” Econometrica ,
May 1980, 48(4), pp. 817-38. (required reading)
IV.
Asymptotic Theory
A. Introduction
* JD: Ch. 2.4; * Greene: Ch. 4.4; * DM: Ch. 4.1-4.6
B. Some Useful Results
* DM: Ch. 4.7
C. Instrumental Variables
* JD: Ch. 5.5; * Greene: Ch. 9.5; * DM: Ch. 7
D. Method of Maximum Likelihood
* JD: Ch. 2.6, 5.1-5.4; * Greene: Ch. 4.5, 9.6, 12.5.2, 13.6.2;
* DM: Ch. 8
3

4
** Savin, N.E. “Conflict Among Testing Procedures in a Linear Regression
Model with Autoregressive Disturbances.” Econometrica, November 1976,
44(6), pp. 1303-15. (recommended reading)
** Evans, G.B.A. and Savin, N.E. “Conflict Among the Criteria Revisited; the
W , LR and LM Tests.” Econometrica, May 1982, 50(3), pp. 737-48.
(required reading)
V.
Specification Error
A.
General Results of Misspecification
B.
Hausman test
* JD: Ch. 4.1; * Greene: Ch. 9.5.
** Hausman, J.A. “Specification Tests in Econometrics.” Econometrica ,
November 1978, 46(6), pp. 1251-71. (recommended reading)
VI.
Time Series Analysis
A. Preliminaries
* JD: Ch. 2.5; * Greene: Ch. 18.2
** Sargent, Thomas J. Macroeconomic Theory, 2nd edition. Boston:
Academic Press, 1987. Ch. 11 (required reading)
B. Unit Root Tests
* JD: Ch. 7.3; * Greene: Ch. 18.3
VII.
Estimation and Inference in Nonlinear Models
A. Nonlinear Least Squares
* Greene: Ch. 10; * DM: Ch. 5
B. Generalized Methods of Moments
* JD: Ch. 10; * Greene: Ch. 11.5, 11.6; * DM: Ch. 17