Numbering Code	G-ECON31 5A404 LJ43	Year/Term	2022 ・ Second semester
Number of Credits	2	Course Type	Lecture
Target Year		Target Student
Language	Japanese	Day/Period	Fri.3
Instructor name	YANAGI TAKAHIDE (Graduate School of Economics Senior Lecturer)
Outline and Purpose of the Course	This course aims to provide basic econometric theory for first-year graduate students. Specifically, the course will comprise ordinary least squares estimation, instrumental variables estimation, the generalized method of moments, panel data analyses, estimation in nonlinear models, maximum likelihood estimation, nonparametric estimation, and bootstrap inference. The topics covered in this course are essential for understanding applied economic studies and theoretical econometric studies. This course is recommended for first year graduate students.
Course Goals	1. You will understand graduate-level econometric methods and some seminal empirical studies. 2. You will understand graduate-level econometric theory. 3. You will be able to implement empirical applications by using statistical software such as R.
Schedule and Contents	1. Guidance, Probability and Statistical Inference [1, 2, 3] 2. Probability and Statistical Inference [1, 2, 3] 3. Identification 4. Least Squares Estimation in Linear Models [4, 7] 5. Least Squares Estimation in Linear Models [4, 7] 6. Instrumental Variables Estimation in Linear Models [5, 8] 7. Instrumental Variables Estimation in Linear Models [5, 8] 8. Linear Panel Data Models [10] 9. Linear Panel Data Models [10] 10. Estimation in Nonlinear Models [12] 11. Conditional Maximum Likelihood Estimation [13] 12. Nonlinear GMM Estimation [13] 13. Nonparametric Kernel Estimation 14. Bootstrap Inference 15. Feedback using PandA *The numbers in the square brackets indicate the corresponding chapters in Wooldridge (2010).
Evaluation Methods and Policy	Evaluation through the term-end exam (70%) and homework assignments (30%). The final grades (A, B, C, F) are given by relative evaluation. There will be one term-end exam and three or four homework assignments. The term-end exam and homework assignments aim to check understanding of the course contents. Homework assignments comprise theoretical exercises and numerical problems. You need to study how to use statistical software, such as R, by yourself.
Course Requirements	Completing "Mathematics for Economics" and "Advanced Statistics" is required. In addition, completing some undergraduate-level econometric course is also required.
Study outside of Class (preparation and review)	Students need to prepare each class by reading lecture slides and the textbook. Students should review the contents of each class by reading the textbook and by solving problems in the textbook.
Textbooks	Textbooks/References	Econometric Analysis of Cross Section and Panel Data, Jeffrey M. Wooldridge, (MIT Press, 2010), ISBN:9780262232586 Econometrics, Bruce E. Hansen, (2021), https://www.ssc.wisc.edu/~bhansen/econometrics/
References, etc.	Econometrics, Fumio Hayashi, (Princeton University Press, 2000) Introduction to Econometrics, James H. Stock, Mark W. Watson, (Pearson, 2019), ISBN:978- 0134461991 計量経済学, 西山慶彦，新谷元嗣，川口大司，奥井亮, (有斐閣, 2019), ISBN:978-4-641-05385-4