Ec 616 Spr '98 Syllabus

TEXT: William H. Greene, Econometric Analysis, 3^rd Edition, Prentice Hall Publishing Company, 1997.

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.

Syllabus
DATE	TOPIC	Text Reading	Journal Articles	Homework
January 19	Introduction
January 26	ARCH - GARCH (MCD files involved), Self-extracting file	Chapter 15.9 & 19.7	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.
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, 57:348-368 Kmenta, J. and R.F. Gilbert (1968) "Small Sample Properties of Alternative Estimatros of SURs", JASA, 63:1180-1200
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 Semi-logarithmic Form", AER, 71:801 Kennedy, P. (1986) "Interpreting Dummy Variables", REStat, 68:174-175. Garber, S. and D. Poirier (1974) "The Determinants of Aerospace Profit Rates", SEJ, 41:228-238.	Paper Topic
February 16	Random Effects Models, An Example Guo Quan	Chap 16	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 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 (McGraw-Hill): New York.
March 2	Sim Eq: Estimators Tom Dowdell Outline Worksheet and Data	Chap 20	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.
March 9	Spring Break
March 16	Mid-term Exam	Data sets	CPI: EXCEL, and ASCII Zellner: EXCEL, and ASCII Truffles: 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, 21:57-582. 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 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. 823-841	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: North-Holland.	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 84-10, 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. 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 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

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