Temple University
Department of Economics

Economics 616
Econometrics II

Spring 2005
Wednesday, 4:40 - 7:10 PM
200 Curtis Hall

Beginning in mid- to late April class members will be presenting seminars on econometric issues related to their anticipated dissertation topics. To find appropriate topics for these seminars click here.


Introduction to R

A manual specifically for Econometrics: Farnsworth


Date Topic Speaker Materials
January 19 Random Effects and Fixed Effects Models,

An Example


Buck REM or LSDV: Which is it?
January 26 Seemingly Unrelated Regression and the Chow Test Buck Exploring the Grunfeld data.  Questions and Data: text file
February 2 Simultaneous Equations: Identification


Properties and Tests

Buck A Small Macroeconomic Model
February 9 More Simultaneous Eqns.    
February 16 Intro to Time Series Buck  
February 23 Unit Roots, Cointegration and VARS Buck  
March 2 ARCH - GARCH    
March 9 Spring Break
March 16 Quantile Regression and a MCAD worksheet Buck A short essay by Roger Koenker

A longer draft of a monograph by Koenker

A review article in ecology

March 23 Kernel Regression  Buck Haerdle's Textbook

Lectures and Problems by Prof. Zucchini

March 30 Generalized Method of Moments

MCD worksheet to accompany notes

  Method of Moments Homework
April 6      
April 13      
April 20      
April 27      
May 11 Final Exam

Papers and presentations from 2003

Auditor Selection: Binary Choice Ye Zhongxia Discrete Dependent Variables

Exam Question

Demand for Natural Gas Hector Ferrer Lecture

Hwk Questions and related data

Exam Questions

Applied Nonparametric Regression by Wolfgang Härdle

Credit Scores and Demographics: Probit Kelli Jones Credit Scoring

Comparison of Results

Hwk Problem

Exam Question and another hwk with Data

Event Studies and Restricted Stock Offerings Michael Saponara Event Studies

Hwk and Exam Questions and Answers

A Dynamic Model of Fertility and Growth: Vector Autoregressions Svitlana Maksymenko Lecture

Hwk  Find the solutions and RATS programs here. (Be careful, 6Mb)

Data for the hwk

Exam Question

Voluntary Disclosure of Auditor's Report: Binary Choice Yinqi Zhang Lecture

Exam Question

Sports Betting and Efficiency: Bivariate Probit George Diemer