Department of Economics
Tuesday, 4:40 PM - 7:10 PM
(This is a chnage from the class listing catalog)
TEXT: William H. Greene, Econometric Analysis, 3rd Edition, Prentice Hall Publishing Company, 1997.
Let me again urge you to purchase the student version of MathCAD.
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
|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",
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
|Chap 17||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 9||Anova and Dummy
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.
|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.
do this hwk, but I'll leave the link in so that you can look at it. REM or LSDV: Which is it?
|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||Chap 20||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.
|March 9||Spring Break|
|March 16||Mid-term Exam||
|CPI: EXCEL, and ASCII|
|March 23||Sim Eq: Properties and Tests
|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,
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
|March 30||Univariate Time Series.
|Chap 19||Greene, Econometric Analysis, Pps. 823-841||Outline, Bibliography and Data Sources for Paper|
for Unit Roots
|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.
with AR, MA and ARMA Models. Get the
AR data, MA data, and ARMA data
|April 13||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 20||Cointegration||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
|April 27||Cointegration||Chap 19||Unit Roots and Cointegration
|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.
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.