Eco 270
Eco 270
Eco 270
Course Description
This course is designed primarily to provide the necessary statistics background to
incoming PhD students in the economics department, in particular so that it might
be possible to continue with the more challenging econ 271 and econ 272 in the first
year econometrics sequence. You are required to be familiar with the materials
taught in econ 102A and econ 102B. You also need to be very good at linear algebra
and multivariate calculus, and should know some basic real analysis.
Part 2 of econ 270 introduces the statistical inference theory of estimation and
testing. Time permitting, an introduction to basic linear regression models might be
given.
You might also be interested in the following two books, but they are far more
advanced.
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TA office hours:
TA Sessions:
While you are encouraged to discuss the problems, You are required to submit
independent solutions for the problem sets. There will be regular problem sets
and a final exam.
Course Outline
The following syllabus contains suggested pages from the textbooks for
reading. But you are responsible for reading other parts of the textbooks
and/or additional materials to understand the content of the course.
Since the Amemiya book is very concise and can be (and should be)
read from beginning to end, and only a small amount of material is
drawn from Greene, I will mostly only give page number for Casella
and Berger. You should also read Appendix A and Appendix B (and
maybe even Appendix E) of Greene's "Econometric Analysis".
Subtopics
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Subtopics
Ch 5, Amemiya
Subtopics
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Ch 6, Amemiya
Appendix D. Greene
Subtopics
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pointestimation.pdf
intervalestimation.pdf
Bayesian Asymptotics
Ch 7 and 8, Amemiya
Appendix C, Greenee
Subtopics
Newton Methods
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Bayesian Inference
Hypothesis Testing
LRtestlinearconstraints.pdf
Ch 9, Amemiya
Appendix C, Greene
Subtopics
Bayesian Tests
Power function
Admissible test
P-values
Wald Tests
Local Power
Ch 8, Amemiya
Appendix C, Greene
sufficiencyandcompleteness.pdf
Subtopics
Factorization Theorem
Exponential Family
Notes
Notes
Problem Sets
Problem Set 1 Due on Thursday, October 12.
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