Econometrics I
Economics 517
Fall 2004
Taught by: Chris Sims Preceptor:  Matt Weinberg
Contact information
Contact information

New information is in red

Course Syllabus and Reading List

The course meets 1-2:30PM Tuesday and Thursday in Fisher B-06.

Link to year-before-last's course materials

Exercises, links to additional notes, announcements about the course, etc. will appear here.

Grade CDF
Final Exam Answers
Consistency of OLS, convergence modes
Time Series Regression, Schwarz criterion
Exchange rate data (text file labeled with dates and variable description) (Data as R ts object)
Hypothesis tests and model criticism
Asymptotics Notes
Asymptotics Exercise, due Wednesday 12/8
Answers to (unexpectedly) hard parts of Asymptotics Exercise
Applied Model Checking Exercise, due Tuesday 11/23.
Directory with data, R code, article.
Exercise on model checking, due Tuesday 11/9.
Midterm exam with answers
Frequently Occurring Errors on the Midterm, plus grade CDF
Lecture notes: Confidence, credibility, tests
These notes cover all the slides used in the last three lectures, with some minor additions, but do not yet include most of the material for which there were no slides.
Exercise on confidence and credible sets, due October 20 at precept
Exercise due October 12
Answers to October 12 exercise, analytic parts
Notes on the Standard Normal Linear Model
Notes on Principal components, regression
Exercise, partially due 10/5
Problem 1 and parts (a) and (b) of problem 2 due 10/5. The remainder of problem 2 due 10/12. The problem set includes notes on the beta distribution and on implementing conjugate priors with dummy observations. The latter correct an important error in the 9/28 lecture.
Data Files
Matt's answer sheet for problem set due October 5
9/23 lecture, plus some of 9/28
Additional problem for exercise due 9/28
Slides from 9/21 lecture
Exercise on conditional and marginal probabilities. Due Tuesday, 9/28
Answers to exercise
Slides from 9/16 lecture
Slides from 9/9 and 9/14 lectures
These slides overlap heavily with the notes below. They include the list of things you can prove as a self-test or exercise, which are not included in the notes. They do not (yet) include notes for the last part of the 9/14 lecture.
Exercise on decision and market probabilities. Due Tuesday, September 21
Notes on probability and expectation