Summary of Topic and Material for Winter 2011’s Econ 680

Vinh Nguyen. May 21, 2011

Topic % weight of Related Materials

the course
1 Math Background 10%  Tutorial 1
 Matrix algebra and calculus  Midterm
 Basic probability theory
 MLE
 Cramer-Rao Lower Bound
2 OLS 50%  Tutorial 2
 Linear model  Tutorial 3
 Derivations of the OLS estimator and its properties  HW1
 FWL and Gauss-Markov Theorems  HW2
o Assumptions  Tutorial 4
o Conclusions  Midterm
 Tests
o t-test
o F-test
o Chow test
 Asymptotic inferences + testing
o Convergence in probability
o Delta method
o Wald’s test
3 Heteroskedasticity 10%  Tutorial 5
 Consequences  Midterm
 Robust inference
 WLS + GLS
 Test for heteroskedasticity

4 Autocorrelation 10%  Tutorial 6

 Consequences  HW3
 Stationarity + weak dependence
 Moving average process
 Autoregressive process
 Test for autocorrelations
o Recent method
o Durbin-Watson test
 GLS when autocorrelation exists
o Prais-Winsten Iterative Process
5 IV 10%  Tutorial 7
 Strict exogeneity  HW4
 Requirements + Setup  Tutorial 8
 Properties
 Tests
o Validity
o Overidentification
6 GMM 10%  HW4
 Setup
 Assumptions + Results
 Calibrations +Estimations
 2 stage GMM
 GMM Over-identification test
 IV, OLS, MM estimators as special cases of GMM
7 Other Topics + Questions