Department of Economics

Temple University

Economics 616

Econometrics II

Spring 2000

Tuesday, 4:40 PM - 7:10 PM

Speakman 115

TEXT: William H. Greene, Econometric Analysis, 4th Edition, Prentice Hall Publishing Company, 1999.

Let me again urge you to purchase MathCAD, even if you have had some success using the viewer.


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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 periodic short exams on the course material. There will be no mandatory homework, although it is advisable that you look at the assignments shown in the syllabus. There will be no paper this semester.

Periodic exams 100%


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Text Reading

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Journal Articles

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January 18 ARCH - GARCH (MCD files involved), Self-extracting file Chapter 18.5 Engle, R. (1982) "Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation", Econometrics, 50:987-1008.

Engle, R. and M. Rothschild (1992) "ARCH Models in Finance" Journal of Econometrics, Vol. 52.

Bollerslev, T. (1986) "Generalized Autoregressive conditional Heteroscedasticity", Journal of Econometrics, 31:307-327.

January 25

A Short Quiz on GARCH

Seemingly Unrelated Regression and the Chow Test Chap 15 Zellner, A.(1962) "An Efficient Method of Estimating Seemingly Unrelated Regression and Tests for Aggregation Bias" JASA, 57:348-368

Kmenta, J. and R.F. Gilbert (1968) "Small Sample Properties of Alternative Estimatros of SURs", JASA, 63:1180-1200

February 1 Random Effects and Fixed Effects Models,

An Example

Chap 14 Nerlove, M. (1971) "A Note on Error Components Models", Econometrica, 39:383-396.

Fuller, W.A. and G.E. Battese (1973) "Transformations for Estimation of Linear Models with Nested Error Structures", JASA, 68:636-632

Fuller and Battese (1974) "estimation of Linear Models with Crossed Error Structure", Journal of Econometrics, 2:67-68.

We won't do these hwks, but I'll leave them linked so that you can look at them: 1. REM or LSDV: Which is it?

2. Exploring the Grunfeld data.  Questions and Data: text file or EXCEL file

February 8

A Short Quiz on SUR, REM and LSDV (Anova) Models

Simultaneous Equations: Identification Chap 16 Working, E.J. (1927) "What Do Statistical Demand Curves Show?" Quarterly Journal of Economics, 41(1).

The Identification Problem in Econometrics (1966), Franklin Fisher, Krieger Publishing (McGraw-Hill): New York.

February 15 Sim Eq: Estimators

and Data prepared by Tom Dowdell

Chap 16 Basmann, R.L. (1957) "A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation", Econometrica, 25:77-83.

Anderson, T.W. and H. Rubin (1949) "Estimation of the Parameters of a single Equation in a Complete System of Stochastic Equations", Annals of Mathematical Statistics, 20:46-63.

Zellner, A. and H. Theil (1962) "3 Stage Least Squares: Simultaneous Estimation of Simultaneous Equations", Econometrica, 30:54-78.

February 22 Sim Eq: Properties and Tests



Chap 16 Anderson, T.W. and H. Rubin (1950) "The Asymptotic Properties of Estimatros of the the Parameters of a Single Equation in a Complete System of Stochastic Equations" Annals of Mathematical Statistics, 21:57-582.

Kinal, T.W. (1980) "The Existence of Moments of k-Class Estimators," Econometrica, 48:241-249

Mariano, R.S. (1977) "Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients", Econometrica, 45:487-496

Sawa, T. (1969) "The Exact Sampling Distribution of OLS and 2SLS Estimators", JASA, 64:923-937

Spenser, D. and K. Berk (1981) "A limited Information Specification Test", Econometrica, 49:1079-1085.

A Small Macroeconomic Model
February 29

A Short Quiz on Simultaneous Equations

Univariate Time Series.

If you have either MathCAD or MathCAD Explorer then you can check out these work sheets: AR(p), MA(q), ARMA(p,q).

Chap 18 Greene, Econometric Analysis, Pps. 823-841
March 7 Spring Break
March 14 Testing for Unit Roots Chap 18 Campbell and Perron (1991) "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots", NBER, Macroeconomics Conference, Cambridge.

Stock, J. (1994) "Unit Roots, Structural Breaks, and Trends" Handbook of Econometrics, Engle and McFadden (eds.), Vol. 4, Amsterdam: North-Holland.

Working with AR, MA and ARMA Models. Get the
AR data, MA data, and ARMA data
March 21 Multivariate Time Series


Hakkio, C.S. and C.S. Morris (1984) Vector Autoregression: A User's Guide, November, RWP 84-10, Federal Reserve Bank of Kansas City.
March 28 Cointegration

A money - GNP example with some data

Chap 18 Dickey, Jansen and Thornton (1991) "A Primer on Cointegraton with an Application to Money and Income, Fed Res Bank of St. Louis, 73(2), Pp. 58-78.

Watson, M. (1994) "VAR's and Cointegration" Handbook of Econometrics, Engle and McFadden (eds.), Vol. 4, Amsterdam: North-Holland.

VARs and Causation
Data Set
April 4 Cointegration Chap 18 Unit Roots and Cointegration
Data Set
April 11

A Short Quiz on Time Series

Discrete Dependent Variables Chapter 19
April 18 Truncation and Censoring Chapter 20
April 25 Duration Models Chapter 20
May 2 A Short Quiz on Limited and Qualitative Dependent variables

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






  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.

  3. The Model
  4. 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.

  5. The Empirical Model
  6. Data

    Empirical Specification

    Special methodological issues (Stationarity, logit, etc.)

    Results (All of them, in a table!)

    Regression results

    Discussion of pathological diseases

  7. Conclusion

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


Tips for writing a paper


  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?