Department of Economics
Wednesday, 7:25 - 9:55 PM
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.
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%
|January 23||ARCH - GARCH (MCD files involved), Self-extracting file
Notes by Roberto Perelli
|Chapter 18.5||Engle, R. (1982) "Autoregressive
conditional heteroscedasticity with estimates of the variance of U.K. inflation",
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.
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,
Kmenta, J. and R.F. Gilbert (1968) "Small Sample Properties of Alternative Estimatros of SURs", JASA, 63:1180-1200
|February 6||Random Effects and Fixed Effects Models,||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.
do these hwks, but I'll leave them linked so that you can look at them: 1.
REM or LSDV: Which is it?
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 20||Sim Eq: Estimators||Chap 16||Basmann,
R.L. (1957) "A Generalized Classical Method of Linear Estimation of Coefficients in a
Structural Equation", Econometrica,
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 27||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,
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
A Short Quiz on Simultaneous Equations
|Univariate Time Series.||Chap 18||Greene, Econometric Analysis, Pps. 823-841|
|March 13||Spring Break|
|March 20||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.
with AR, MA and ARMA Models. Get the
AR data, MA data, and ARMA data
|March 27||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.|
|April 3||Cointegration||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
|April 10||Cointegration||Chap 18||Unit Roots and Cointegration
A Short Quiz on Time Series
|Discrete Dependent Variables||Chapter 19|
|April 24||Truncation and Censoring||Chapter 20|
|May 1||A Short Quiz on Limited and Qualitative Dependent variables|
New Topics: Quantile Regression
Final Exam: Exam in a WORD document and the necessary data. To get either of these documents right click on the link and when prompted save the file to some address on your PC. The exam key is now here.
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.
Special methodological issues (Stationarity, logit, etc.)
Results (All of them, in a table!)
Discussion of pathological diseases
Restate the intent of the paper. State your results and why they are exciting.
Tips for writing a paper