Instructor: Denis Pelletier

Office: 4162 Nelson Hall

Email: denis_pelletier@ncsu.edu

Web: http://www4.ncsu.edu/~dpellet

Office hours: Tuesday 2:00pm - 3:00pm or by appointment.

You can download the syllabus.

**Classroom material**

- Review of the basic linear regression model.
- Review of the multiple regression model.
- Functional forms and dummy variables.
- Panel data and fixed effects.
- Instrumental variables and 2SLS.
- Probit model.
- Time series.
- Financial econometrics.

**Homework assignments**

- Problem set #1. The due date is Tuesday, January 28.
- Problem set #2 and the necessary files. The due date is Thursday, February 6.
- Problem set #3. The due date is Tuesday, March 18.
- Problem set #4 and the the dataset. The due date is Friday, March 21 by 4pm.
- Problem set #5 and a zip file containing the dataset and SAS code. The due date is Wednesday, April 16 by 4:30pm.

**Computer labs**

- Multiple regression. The zip file contains the SAS code, the dataset and a pdf document explaining the use of multiple regression to study housing prices.
- Panel data. The zip file contains the SAS code and the dataset.
- Instrumental Variable estimation. The zip file contains the SAS code, dataset and a pdf summarizing the application.
- Probit model. The zip file contains the SAS code, dataset and a pdf summarizing the application.
- Unit root and cointegration I.
- Unit root and cointegration II.
- Volatility.
- Heteroskedasticity.

**Semester Project**