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, 4^{th} 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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Web site  Archive 
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%
Syllabus 






January 18  ARCH  GARCH (MCD files involved), Selfextracting file  Chapter 18.5  Engle, R. (1982) "Autoregressive
conditional heteroscedasticity with estimates of the variance of U.K. inflation",
Econometrics, 50:9871008. 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, 31:307327. 

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,
57:348368 Kmenta, J. and R.F. Gilbert (1968) "Small Sample Properties of Alternative Estimatros of SURs", JASA, 63:11801200 

February 1  Random Effects and Fixed Effects Models,  Chap 14  Nerlove, M. (1971) "A Note on Error
Components Models", Econometrica, 39:383396. Fuller, W.A. and G.E. Battese (1973) "Transformations for Estimation of Linear Models with Nested Error Structures", JASA, 68:636632 Fuller and Battese (1974) "estimation of Linear Models with Crossed Error Structure", Journal of Econometrics, 2:6768. 
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? DataSet 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 (McGrawHill): New York. 

February 15  Sim Eq: Estimators  Chap 16  Basmann,
R.L. (1957) "A Generalized Classical Method of Linear Estimation of Coefficients in a
Structural Equation", Econometrica,
25:7783. 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, 20:4663. Zellner, A. and H. Theil (1962) "3 Stage Least Squares: Simultaneous Estimation of Simultaneous Equations", Econometrica, 30:5478. 

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,
21:57582. Kinal, T.W. (1980) "The Existence of Moments of kClass Estimators," Econometrica, 48:241249 Mariano, R.S. (1977) "Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients", Econometrica, 45:487496 Sawa, T. (1969) "The Exact Sampling Distribution of OLS and 2SLS Estimators", JASA, 64:923937 Spenser, D. and K. Berk (1981) "A limited Information Specification Test", Econometrica, 49:10791085. 
A Small Macroeconomic Model DataSet 
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. 823841  
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: NorthHolland. 
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 8410, 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. 5878. Watson, M. (1994) "VAR's and Cointegration" Handbook of Econometrics, Engle and McFadden (eds.), Vol. 4, Amsterdam: NorthHolland. 
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!
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.
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.
Data
Empirical Specification
Special methodological issues (Stationarity, logit, etc.)
Results (All of them, in a table!)
Regression results
Discussion of pathological diseases
Restate the intent of the paper. State your results and why they are exciting.