Department of Economics

Temple University

Economics 616

Econometrics II

TEXT: William H. Greene, Econometric Analysis, 3rd Edition, Prentice Hall Publishing Company, 1997.

This course is an extension of the material presented in Economics 615. It is a bit more topically organized, rather than being organized along the lines of reviewing the consequences of relaxing assumptions. Click for a longer discussion on the purpose of the course.

There will be doses of both theory and practice. Given my personal preferences most of the practice will occur in homework exercises and your paper.

There will be an exam and a final. The final will be cumulative. There will also be five homework assignments and an original paper. The paper should use one of the empirical methodologies discussed during the semester. You may choose y our own topic for the paper. It should be in an area that you are considering for a dissertation.

The weights for the computation of your grade are as follows:

Homework 1/4

Paper 1/4

Midterm 1/4

Final 1/4

Syllabus
DATE TOPIC Reading Homework
January 22 Seemingly Unrelated Regression and the Chow Test Chap 17  
January 29 Least Squares Dummy Variables Chap 16 Paper Topic
February 5 Random Effects Models,

An Example

 Chap 16 REM or LSDV: Which is it?
DataSet
February 12 Simultaneous Equations: Identification Chap 20  
February 19 Sim Eq: Estimators Chap 20  
February 26 Sim Eq: Properties and Tests Chap 20 A Small Macroeconomic Model
DataSet
March 5 Mid-term Exam    
March 12 Spring Recess    
March 19 Univariate Time Series Chap 19 Outline, Bibliography and Data Sources for Paper
March 26 Univariate Time Series Chap 19  
April 2 Testing for Unit Roots Chap 19 Working with AR, MA and ARMA Models
AR data, MA data, and ARMA data
April 9 Multivariate Time Series    
April 16 Multivariate Time Series Chap 19  
April 23 Cointegration Chap 19 VARs and Causation
Data Set
April 30 Cointegration Chap 19 Unit Roots and Cointegration
Data Set
May 7 Final Exam   Paper

 

 

To go to a page with all of the homework assignments and data bases for Econ 615 and 616 just give a little click!

Outline

  1. Introduction

    2. In this section you should identify and describe the ‘problem’ that interests you. A very brief review of earlier contributions is appropriate. After reading your introduction the reader should know why s/he wants to read more.

  2. The Model

    3. There should be a bona fide review of the literature in this section. Also state your model. It may have been developed earlier by someone else, but you will have made some modifications.

  3. The Empirical Model

    4. Data

    Empirical Specification

    Special methodological issues (Stationarity, logit, etc.)

    Results (All of them, in a table!)

    Regression results

    Discussion of pathological diseases

  4. Conclusion

Restate the intent of the paper. State your results and why they are exciting.

 

Tips

 

  1. You must obey conventional rules of spelling, punctuation and grammar. There is a writing center on campus. Go to it.
  2. Your paper will be expository. You are students of economics, a social science with a strong behavioral history. As a result your paper should rely on ‘compare and contrast’ and/or ‘cause and effect.’
  3. Did you clearly state the proposition?
  4. Did you clearly state the hypothesis to be tested and the result?
  5. Did you use an appropriate estimator?
  6. Did you test and correct for any pathological diseases?
  7. Can an interested reader find and reconstruct you data from the information in your paper?
  8. Can another researcher replicate your results by carefully reading your paper?