Topics in Applied Advanced Econometrics

Lectures at Tsinghua University, China
May 18-20 and May 25-27, 2005
http://www.econ.pdx.edu/staff/KPL/Tsinghua/
Prof. Kuan-Pin Lin
Portland State University
Portland, Oregon 97207, USA

Texts and References

• W. H. Greene, Econometric Analysis, 5th ed., Prentice Hall, 2002.
• K.-P. Lin, Computational Econometrics: GAUSS Programming for Econometricians and Financial Analysts, ETEXT Publishing, 2001; Chinese Edition, Tsinghua University Press, 2003.
• J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, The MIT Press, 2002.
• J. D. Hamilton, Time Series Analysis, Princeton University Press, 1994.
• Handbook of Econometrics, Selected Papers, Vol. I-V.

Software and Manual

• GAUSS 6.0 for Windows Student Version, Aptech Systems, 2004. Academic and professional versions of GAUSS for Windows are also available from Aptech.
• GPE2 (GAUSS Programming for Econometricians and Financial Analysts) for GAUSS, included in Computational Econometrics. Free upgrade of GPE2 for GAUSS 6.0 is available here.

Selected Topics

• Econometric Computing with GAUSS
  Introduction to GAUSS
  Using GPE2 for GAUSS
• Time Series Analysis
  Nonstationary Time Series: Unit Roots and Cointegration
  Autoregressive and Moving Average (ARMA, ARMAX)
  Autoregressive Conditional Heteroscedasticity (ARCH, ARCH-M, GARCH)
• Panel Data
• Spatial Econometric Analysis
• Space-Time Data

Course Expectation

This course consists of lectures, readings, homework, and exam. Doing homework using GAUSS is important not only to understand the theoretical concepts but also to learn structural and efficient computing techniques for applied econometric modeling and analysis.