What is Econometrics?
Literal Interpretation:
Econo + Metrics = Economic Measurement
Purpose: Econometrics gives empirical content to a priori reasoning
in economics.
Economic Theory + Mathematical
Yoon-Jae Whang
Fall 2011
Econometrics
SNU
FINAL EXAMINATION
Wednesday 7 December, 2011
Instruction: This is a 90 minute closed book exam. Answer all questions.
The questions are straightforward but th
Yoon-Jae Whang
Fall 2011
Econometrics
SNU
MIDTERM EXAMINATION
October 19, 2011
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but think befo
Yoon-Jae Whang
Fall 2010
Econometrics
SNU
MIDTERM EXAMINATION
Saturday 16 October, 2010
Instruction: This is a 90 minute closed book exam. Answer all questions.
The questions are straightforward but t
Yoon-Jae Whang
Fall 2006
Econometrics
SNU
MIDTERM EXAMINATION
Thursday 26 December
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but think
Yoon-Jae Whang
Fall 2007
Econometrics
SNU
MIDTERM EXAMINATION
Tuesday 30 October, 2007
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but th
Yoon-Jae Whang
Fall 2005
Econometrics
SNU
MIDTERM EXAMINATION
Monday 7 November
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but think bef
Yoon-Jae Whang
Fall 2010
Econometrics
SNU
FINAL EXAMINATION
Saturday 11 December, 2010
Instruction: This is a 90 minute closed book exam. Answer all questions.
The questions are straightforward but th
Yoon-Jae Whang
Fall 2006
Econometrics
SNU
FINAL EXAMINATION
December 12, 2006
Instruction: This is a 75 minutes closed book exam. Answer all questions.
The questions are straightforward but think befo
Yoon-Jae Whang
Fall 2007
Econometrics
SNU
FINAL EXAMINATION
December 11, 2007
Instruction: This is a 75 minutes closed book exam. Answer all questions.
The questions are straightforward but think befo
Econometrics Yoon—Jae Whang
SNU ’ Fall 2009
FINAL EXAMINATION
Thursday 10 December, 2009
Instruction: T his is a 75 minute closed book exam. Answer-all questions.
The quest-ions are straightfomzard. b
Yoon-Jae Whang
Fall 2014
Econometrics
SNU
FINAL EXAMINATION
December 12, 2014
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but think befor
Yoon-Jae Whang
Fall 2013
Econometrics
SNU
FINAL EXAMINATION
December 2, 2013
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but think before
Maximum Likelihood and IV
Estimation
Lecture Note 7
Topics to be covered:
Maximum Likelihood Estimation
Large Sample Hypothesis Testing: Wald Test
Measurement Error and IV estimation
1
Maximum Lik
Multiple Regression Model I
Lecture Note 3
Contents
Multiple Regression Model
Classical Assumptions
Ordinary Least Squares (OLS) Estimation
Geometry of Least Squares
Statistical Properties of OL
What is Regression?
Contents
The Regression Problem
Some Basic Concepts
Ordinary Least Squares (OLS) Estimation
1
The Regression Problem
Define
y
:
Dependent Variable (or Explained Variable; Regr
General Linear Models
Topics to be covered:
General Linear Models
Heteroskedasticity
Autocorrelation
1
General Linear Models
Let
y = X + u,
where
Eu = 0
Euu0 = V
2
6= 2I : Nonspherical errors
1.1
Simultaneous Equation Models
Topics to be covered:
Introduction
Identification Problem
1
Introduction
Motivation:
Economic variables are often thought of as being determined jointly
by a system o
Multiple Regression III: Further
Results
Lecture Note 5
Topics to be covered:
Goodness of Fit
Forecast
Dummy Variables
Specification Errors
1
Goodness of Fit
1.1
Coecient of Determination
R2
:
Q
Econometrics
Seoul National University
Yoon-Jae Whang
Matrix Algebra: A Review
Lecture Note #0
1
Basic Definitions and Axioms
a1n
a2n
A=
= (aij ) is an m n matrix (m rows, n columns)
am1 am2 amn
wi
Introduction to Large Sample Theory
Topics to be covered:
Modes of Convergence
Asymptotic Properties of the LS estimator
1
Modes of Convergence
1. Pointwise Convergence
2. L2 (or MSE) Convergence
3
Multiple Regression Model II:
Inference
Lecture Note 4
Topics to be covered:
Review of Basic Concepts
Hypothesis Testing in Linear Regression Models
Single Linear Restriction: t-test
Multiple Lin
Yoon-Jae Whang
Fall 2014
Econometrics
SNU
MIDTERM EXAMINATION
Friday 24 October, 2014
Instruction: This is a 75 minute closed book exam. Answer all questions.
The questions are straightforward but thi