Econometric methods. Part IIb.
In this part methods for cross-sectional and time series data of various types, duration data, transition data and panel data will be covered. The course starts with review of regression methods. Classical econometric methods two-stage-least-squares, instrumental methods, three-stage-least-squares etc. Co-integration with Johansen method is introduced. Methods suitable for microeconometric analysis are introduced.
Textbooks: Main text will be:
Davidson, R. and MacKinnon, J.G.: Estimation and Inference in Econometrics. (D &M)
Supplementary books will be:
Lancaster, T.: The Econometrics Analysis of Transition Data. and
Amemiya, T.: Advanced Econometrics.
Charemza, W.W. and Deadman, D.F.: New Directions in Econometric Practice.
Any book on econometrics will be useful. Also books on linear models,
survival or reliability etc.
Students are expected to turn in exercises. The course will finish with a 4 hour written exam.
A revised time schedule:
Week 11-13: Review of regression methods. Single equations models, simultaneous equation models, OLS, two-stage-least-squares, instrumental methods, three-stage least squares. Maximum-likelihood methods, non-normal models. (D&M, ch. 1-8 and D&M ch. 18)
Week 14-16. Inference in econometric models, GLS, GMM. Tests, serial correlation, heteroskedacity, specification etc. Unit roots and cointegration. (D&M ch. 9-13, 16,17,19-20).
Week 17-18. Models for duration data, counting processess, panel data. (D&M ch. 14, 15 and selected chapters from Amemiya and Lancaster)
Week 19-20. Review of econometriy theory and practice, estimation priciples, Bayesian methods.
Excercises from Berndt (1991). On monday March 24th, 7 people have
made their selection on what excercises they are going to do. There is
a slight overlap, the excercise 2.3 being the most popular. Such a sligth
overlap is quite OK. If you want to know who chose what see here