EC 571 Advanced Econometrics
Course Syllabus
Winter 2017, 4:40 - 6:30pm TTH (CH 307)
Prof. K.-P. Lin (CH 241G, 725-3931)
Office Hours: 3:30-4:30 TTH & by appointment
(Last updated: 03/12/2017)
This is the continuation of EC 570 covering advanced topics in econometrics.
The main focuses of this course are generalized methods of moments, time series regression,
distributed lags, systems of regression equations, and simultaneous equations models.
Texts
- Required:
- Recommended:
- Christian Kleiber and Achim Zeileis,
Applied Econometrics with R, Springer-Verlag, New York, 2008.
- Vikram Dayal, An Introduction to R for Quantitative Economics:
Graphing, Simulating and Computing, Springer Briefs in Economics, Springer (India), 2015.
- Florian Heiss, Using R for Introductory Econometrics, CreatSpace, 2016.
- A. Colin Cameron and Pravin K. Trivedi,
Microecometrics: Methods and Applications,
Part V, Models for Panel Data, Cambridge University Press, 2005.
- J. M. Wooldridge,
Econometric Analysis of Cross Section and Panel Data, 2nd ed., The MIP Press, 2010.
Software
Course Topics
| Topic | Greene's Chapter | Example | Class Slide |
|---|
| OLS Review | 1-3 | | OLS
|
| Large Sample Theory | 4 |
| Part 1, Part 2
|
| Autocorrelation | 20
| 1.10,
1.11,
1.12,
1.13
| GLS-1, GLS-2
Time Series Asymptotics |
| Distributed Lag Models | 20
| almon1, almon2,
1.14, eggs1
| Chickens-Eggs Causality |
| Instrumental Variables Estimation | 8
| 1.15,
1.16,
1.17, eggs2
| Instrumental Variables |
| Panel Data | 11
| cost1,
cost2,
airline1,
airline2,
airline3
| Panel Data Analysis |
| Systems of Regression Equations | 10
| bw1,
bw2,
bw3,
eggs1a,
bwp.dta,
bwq.dta
| Translog Cost Function |
| Simultaneous Equations Models | 10
| klein1,
klein2,
klein3,
eggs2a, eggs2b
| |
Homework
Course Expectation
For this course, there are two (2) tests: midterm and final. In
addition, there are 4 or 5 homeworks (once every two weeks in average).
Also there is a course project due at the end of term.
The time schedule and grade distribution are as follows:
| Midterm | Feburary 16, in class | (30%) |
| Final | March 21, 5:30pm | (30%) |
| Project | March 21 or earlier | (20%) |
| Homework | Due every 2 weeks | (20%) |
Guideline on Writing a Course Project
- Format
- 5-10 pages typed (double-space and wide margins).
- The format of the paper should follow a standard journal article closely.
- The model presented must be an original econometric model covering problems of
estimating and testing model specifications. Continuation of EC 570 project is acceptable.
- Supporting data and computer program printout have to be included, but not counted
for the page number.
- Contents
- Introduction and brief discussion of the main results.
- Technical description of the econometric model constructed: estimation,
hypothesis testing, regression diagnosis, and remedial methods.
- Economic interpretation of the estimated model: the use of the model in practice.
- References (including data sources).
- Grade
- The project is evaluated based on its originality, creativity, and consistency
with the format and content requirements described above.
- Deadlines
- Project proposal (1 page typed): March 2 or earlier.
- Project due: March 21 or earlier.