Some use will also be made of the older and somewhat more advanced book, Estimation and Inference in Econometrics, also by Russell Davidson and James G. MacKinnon. Visit the web site for EIE to obtain copies of pages in the book that have been corrected, and a Supplement. There is no need to buy this book, however, as printouts of essential material will be provided.
Some material from recent articles will also be used. These will be made available to students.
Part of the course requirements consists of a set of assignments, which will typically have both theoretical and empirical components. The empirical parts will often involve the analysis of data sets using econometrics software. The assignments may be found here, and past exams may be found here.
Here is a more detailed course description, in PDF format.
Assignments can be done using TSP, Stata, GRETL, R, Shazam, or any other suitable econometrics package. The Department of Economics has site licences for TSP and Shazam. These packages are installed on the computers in Dunning 350. They are also on all the Department's Linux servers. Stata is on the PCs in Dunning 350 and on some of the Linux servers. R and GRETL are on all the Linux servers. For more information about some of the popular software packages used in econometrics, follow the appropriate links in the following list:
Failure to abide by these conditions is a breach of copyright, and it may also constitute a breach of academic integrity under the University Senate's Academic Integrity Policy Statement.
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