45-734 PROBABILITY AND STATISTICS II

GRADUATE SCHOOL OF INDUSTRIAL ADMINISTRATION

CARNEGIE-MELLON UNIVERSITY

Announcements (14 May 1998): I have posted the Answers to the Final. This Website Will be Taken off-line on May 18th.

4th Mini, Spring 1998
Instructor: Keith T. Poole

Office: 254B GSIA (new bldg)
Phone: (412)-268-8832
Fax: (412)-268-7357 or (412)-268-6837 or (412)-243-1178
E-Mail:kp2a@andrew.cmu.edu
Secretary: Patty Porter, Room 254, (412)-268-3705

Classroom (Flex-Time): Room 153 Posner Hall    Time: 6:00 - 7:50 TuTh
Classroom (Flex-Mode): Room 240 Posner Hall    Time: 8:00 - 10:50 TuTh

This is a one mini-semester course that is worth 6 units of credit. Your grade will be determined by your performance in three areas: 1) final examination, 40%; 2) one mid-term examination, 30%; 3) homework, 30%. Homeworks are to be written up and turned in on the dates indicated below. The homework problems are all designed to give you "hands-on" experience in applying the methods developed in the course. You will be asked to analyze data on the computer using the software package EVIEWS. EVIEWS is well suited to the kinds of analyses we will cover in the course. You will receive a separate tutorial on EVIEWS that will get you started on the first homework problem. There will also be separate handouts describing each of the data sets used in the course for the homework problems. You will have to be conversant with EVIEWS in order to take the examinations.

REQUIRED HOMEWORK SCHEDULE:

Assignment 1 due Thursday March 19
Assignment 2 due Tuesday March 31
Assignment 3 due Tuesday April 7
Assignment 4 due Thursday April 16
Assignment 5 due Thursday April 23
Assignment 6 due Thursday April 30

EXAM SCHEDULE:

Midterm: 9 April 1998, Take Home Exam, due 14 April 1998
Final: 30 April 1998, Take Home Exam, due Noon, 6 May 1998

Textbooks:

The primary text for the course is Dennis Epple's 1997 Prob-Stat II Course Notes
Mathematical Statistics With Applications from Prob-Stat I will be used as a supplemental text


COURSE OUTLINE

  1. Introduction to Ordinary Least Squares

    1. The Two Variable Model
      Assignment: Epple Notes I, MWS 11.1 - 11.3

    2. Properties of Least Squares Coefficient Estimators
      Assignment: Epple Notes II, MWS 11.4

    3. The Assumption that the Errors are Normally Distributed: confidence intervals, F-tests, and maximum likelihood
      Assignment: Epple Notes III, MWS 11.5-11.7

  2. Multiple Regression

    1. Introduction
      Assignment: Epple Notes IV, MWS 11.10
      Note Set 4 Handouts
    2. Hypothesis Testing
      Assignment: Epple Notes V, MWS 11.11-11.14
      Note Set 5 Handouts
    3. Functional Forms: What if the Relationship Between Y and X is not Linear
      Assignment: Epple Notes VI
      Note Set 6 Handouts
    4. Indicator (Dummy) Variables
      Assignment: Epple Notes VII
      Note Set 7 Handouts
    5. Analysis of Variance
      Assignment: Epple Notes VIII, MWS 13.1-13.14
      Note Set 8 Handouts
  3. Problems With the Multiple Regression Model

    1. Multicollinearity
      Assignment: Epple Notes IX
      Note Set 9 Handouts
    2. Errors in Variables and Non-normality of Errors
      Assignment: Epple Notes X
      Note Set 10 Handouts
    3. Heteroskedasticity and Other Violations of Assumptions
      Assignment: Epple Notes XI
      Note Set 11 Handouts
  4. Time Series Analysis
    Assignment: Epple Notes XII and XIII
    Note Set 12 Handouts
    Note Set 13 Handouts (Moving Average)
    Note Set 13 Handouts (ARMA)
    Note Set 13 Handouts (ARIMA)