Department of Economics
Temple University
Economics 616
Econometrics II
Spring 1999
Tuesday, 4:40 PM  7:10 PM
Speakman 115
(This is a chnage from the class listing catalog)
TEXT: William H. Greene, Econometric Analysis, 3^{rd} Edition, Prentice Hall Publishing Company, 1997.
Let me again urge you to purchase the student version of MathCAD.
Listserv 
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 an exam and a final. The final will be cumulative. There will also be several homework assignments, an original paper and one or more presentations in class. I will assign the presentation topics the first night in class. The paper should use one of the empirical methodologies discussed during the semester. You may choose your 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 and presentations 1/4
Paper 1/4
Midterm 1/4
Final 1/4
Syllabus 






January 19  Introduction  
January 26  ARCH  GARCH (MCD files involved), Selfextracting file  Chapter 15.9 & 19.7  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. 

February 2  Seemingly Unrelated Regression and the Chow Test Jian Gu 
Chap 17  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 9  Anova and Dummy
Variables, Dummies and splines is a special topic Other Specification Problems 
Chap 16  Kennedy, P. (1981) "Estimation with
Correctly Interpreted Dummy
Variables in Semilogarithmic Form", AER, 71:801 Kennedy, P. (1986) "Interpreting Dummy Variables", REStat, 68:174175. Garber, S. and D. Poirier (1974) "The Determinants of Aerospace Profit Rates", SEJ, 41:228238. 
Paper Topic 
February 16  Random
Effects Models,
Guo Quan 
Chap 16  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 this hwk, but I'll leave the link in so that you can look at it. REM or LSDV: Which is it? DataSet 
February 23  Simultaneous Equations: Identification  Chap 20  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. 

March 2  Sim Eq: Estimators  Chap 20  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. 

March 9  Spring Break  
March 16  Midterm Exam  Data sets 
CPI: EXCEL, and ASCII  
March 23  Sim Eq: Properties and Tests
Xiang Yang 
Chap 20  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 
March 30  Univariate Time Series. Ge Zhang If you have either MathCAD or MathCAD Explorer then you can check out these work sheets: AR(p), MA(q), ARMA(p,q). 
Chap 19  Greene, Econometric Analysis, Pps. 823841  Outline, Bibliography and Data Sources for Paper 
April 6  Testing
for Unit Roots Beyeong Choi 
Chap 19  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 
April 13  Multivariate Time Series Chunfeng Yang 
Hakkio, C.S. and C.S. Morris (1984) Vector Autoregression: A User's Guide, November, RWP 8410, Federal Reserve Bank of Kansas City.  
April 20  Cointegration A money  GNP example with some data 
Chap 19  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 27  Cointegration  Chap 19  Unit Roots and Cointegration Data Set 

May 4  Final Exam: Exam in a WORD file and the data sets. The exam and paper are both due by May 11.  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!
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.