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Course Descriptions

Econometrics

(faculty, see Department of Economics)

(ECMT)

660. Mathematical Economics I. (3-0). Credit 3.

Use of selected types of mathematical tools in economic theory.

669. Fundamental Mathematics for Economists. (3-0). Credit 3.

Mathematics of nonlinear programming; applications to micro-theoretic models of demand and production; fundamental results from matrix theory and multivariate differential calculus; systems of differential equations and stability analysis and their economic applications.

675. Econometrics I. (3-0). Credit 3.

Empirical distributions of economic variables; elementary discrete and continuous distributions expressing econometric hypotheses, distributions of estimators and test statistics. Prerequisites: MATH 151 and 152 or approval of instructor.

676. Econometrics II. (3-0). Credit 3.

Use of statistics in economic theory as device for testing hypotheses, formulation of concepts and economic forecasting; regression analysis in economics problems, heteroskedasticity, autocorrelation, distributed lags, regressions with lagged dependent variable, dummy variables and in introduction to multi-equations economics models. Prerequisite: ECMT 675 or equivalent.

677. Econometrics III. (3-0). Credit 3.

Estimation methods applied to economic problems; techniques include single and simultaneous equations models; general linear model in matrix form; tests of linear restrictions; Wald, Likelihood Ratio and Lagrange Multiplier tests; seemingly unrelated regressions, simultaneous equations identification and estimation; missing observations, errors in variables and non-linear estimation in economics problems. Prerequisites: ECMT 675 and 676; STAT 610 or approval of instructor.

678. Econometrics IV. (3-0). Credit 3.

Continuation of ECMT 677. Estimation methods applied to economic problems; techniques include qualitative limited dependent variables; pooled time-series and cross-section data; instrumental variables in economics problems. May repeated for credit. Prerequisite: ECMT 677.

679. Econometrics V. (3-0). Credit 3.

Advanced topics in time series econometrics, including ARMA models, unit roots and cointegration. Prerequisite: ECMT 677.