Ec 616 Spr '00 Syllabus

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.

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.

Syllabus
DATE	TOPIC	Text Reading	Journal Articles	Suggested Homework
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", 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 30	A Short Quiz on GARCH
January 30	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 6	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? DataSet 2. Exploring the Grunfeld data. Questions and Data: text file or EXCEL file
February 13	A Short Quiz on SUR, REM and LSDV (Anova) Models
February 13	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 Outline Worksheet 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 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, 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 DataSet
March 6	A Short Quiz on Simultaneous Equations
March 6	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 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.	Working 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 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 10	Cointegration	Chap 18		Unit Roots and Cointegration Data Set
April 17	A Short Quiz on Time Series
April 17	Discrete Dependent Variables	Chapter 19
April 24	Truncation and Censoring	Chapter 20
May 1	A Short Quiz on Limited and Qualitative Dependent variables

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!