Syllabus
Textbook
Software
Data
Homework
Notes
Hours

## Econometrics II

### Econ 6243

Econometrics I I (Econ 6243) is the second course in our Ph.D. level graduate econometrics sequence. This course is a continuation of Econ 5243.  In recent years this course has been taught using Davidson and MacKinnon's Econometric Theory and Methods and is suitable only for those who are already reasonably comfortable running regressions and matrix algegra. This page provides links to all important information available on this web site for those enrolled in my Econ 6243 sections this spring.

### Software

#### Gretl Resources

• Gretl homepage. Gretl. The MS Windows executable that will install Gretl onto your Windows computer is Here. Also listed are some datasets that you may wish to install.
• Introduction to Econometrics using Gretl. This is a book that is being prepared for use with another textbook. It gives you a pretty good introduction to using Gretl. Gretl Book. Check back regularly because this book is in production and I expect to update it frequently early in the semester.
• Here is a link to the gretl datasets for Davidson and MacKinnon's ETM: Econometric Theory and Methods. Basically, you can click on it to install it.  Make sure you install it to the right directory, otherwise gretl won't be able to find it.
• Also, you can consult my gretl page that will contain the links listed above and a few othters.

### Data

• The data sets from Davidson and MacKinnon's site here
• The gretl data sets can be found here.
• The consumption.txt file from Davidson and MacKinnon.
• Stata datasets from Stock and Watson.
• The Wage Data from Jeffrey Wooldridge
• The Stata datasets for dynamic models
• The gasoline consumption data from Greene.
• Miscellaneous Stata Data sets

### Homework

1. Confidence intervals based on the Sales model from the notes.  Note, for the first part, assume that beta4=0, i.e., the model does not include advertising squared.
2. Introduction to Stata.  First, go to the UCLA website and watch the first three Stata movies (http://www.ats.ucla.edu/stat/stata/notes/).   It's a good idea to work along with these.  These are excellent tutorials on using Stata.   The first two modules cover the interface, data entry, and some basic data exploration commands.
3. Complete the following assignment using either gretl or Stata.  I have also written a short introduction to using Stata that covers all of the stuff you'd need to know to do this.  Don't hesitate to ask me questions.  This is designed for you to get up to speed with the software. Do not turn this assignment in to me.
5. Read this paper by Davidson and Mackinnon on using Artificial Regressions.
6. Probit Homework.
7. Reading:  Mixed Logit by Revelt and Train.
8. Conditional Logit Homework