EC 571 Advanced Econometrics
Course Syllabus
Winter 2007, 4:40 - 6:30pm TTH (CH 296)
Prof. K.-P. Lin (CH 241G, 725-3931)
Office Hours: 4:00-4:30 TTH & by appointment
This is the continuation of EC 570 covering advanced topics in econometrics.
The main focuses of this course are time series regression, distributed lags,
panel data, systems of regression equations, and simultaneous equations models.
Prerequisites
EC 570 Econometrics provides the background fundamentals for this graduate
courses. Basic knowledge of calculus, matrix algebra, statistical inference and probability theory
are required (e.g., MTH 251, 252, 261; STAT 243, 244; EC 370).
Texts
- Required:
- F. Hayashi,
Econometrics, Princeton University Press, 2000.
- Recommended:
- W. H. Greene,
Econometric Analysis, 5th ed., Prentice Hall, 2002.
- C. F. Braum,
An Introduction to Modern Econometrics Using Stata, Stata Press, 2006.
- K.-P. Lin,
Computational Econometrics: GAUSS Programming for Econometricians and Financial Analysts,
ETEXT Publishing, 2001.
Software: Stata or GAUSS
Both Stata and GAUSS are available in the Economics Lab (CH-230).
- Stata 9, StataCorp, 2005.
A version of Small Stata may be used for the class.
- GAUSS 7, Aptech Systems, 2006.
A version of GAUSS Light may be used for the class.
- GPE2 for GAUSS, included in Computational Econometrics.
Free download of GPE2 for GAUSS 7.0 and GAUSS Light are available
here for registered students only.
Course Topics
- Multiple Equation GMM
- Panel Data
- Serial Correlation
- Topics on Time Series
Lecture Notes based on Hayashi (2000):
Chapter 4a,
Chapter 4b,
Chapter 4c,
Chapter 4d,
Chapter 5a,
Chapter 5b,
Chapter 5c,
Chapter 5d,
Chapter 6a,
Chapter 6b,
Chapter 6c,
Chapter 6d,
Chapter 6e,
Chapter 6f,
Chapter 6g,
Supplemental Notes
Sample example programs (Stata):
grilic.dta,
grilic1.do,
grilic2.do,
grilic3.do,
greene.dta,
greene1.do,
greene2.do,
sum_hes.txt,
sum_hes.dta,
sum_hes1.do,
sum_hes2.do,
yen.dta,
yen1.do,
yen2.do,
yen3.do,
yen4.do,
yen5.do,
yen6.do,
3x-var.do,
3x-vec.do
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 8, in class | (30%) |
| Final | March 20, 5:30pm | (30%) |
| Project | March 20 or earlier | (20%) |
| Homework | Due every 2 weeks | (20%) |
Homeworks
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): February 22 or earlier.
- Project due: March 20 or earlier.