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, 3rd Edition, Prentice Hall Publishing Company, 1997.

Let me again urge you to purchase the student version of MathCAD.


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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


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Text Reading

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Journal Articles

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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?
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
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

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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
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

To go to a page with all of the homework assignments and data bases for Econ 615 and 616 just give a little click!






  1. Introduction
  2. 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.

  3. The Model
  4. 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.

  5. The Empirical Model
  6. Data

    Empirical Specification

    Special methodological issues (Stationarity, logit, etc.)

    Results (All of them, in a table!)

    Regression results

    Discussion of pathological diseases

  7. Conclusion

Restate the intent of the paper. State your results and why they are exciting.




  1. You must obey conventional rules of spelling, punctuation and grammar. There is a writing center on campus. Go to it.
  2. Your paper will be expository. You are students of economics, a social science with a strong behavioral history. As a result your paper should rely on ‘compare and contrast’ and/or ‘cause and effect.’
  3. Did you clearly state the proposition?
  4. Did you clearly state the hypothesis to be tested and the result?
  5. Did you use an appropriate estimator?
  6. Did you test and correct for any pathological diseases?
  7. Can an interested reader find and reconstruct you data from the information in your paper?
  8. Can another researcher replicate your results by carefully reading your paper?