course outline econometricsII

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Econometrics II ... undertake independent applied research using modern econometric methods. ... Verbeek M. (2009), A guide to Modern Econometrics, Wiley.
Econometrics II Academic Year: 2010-2011 Dr Gaia Narciso Room: 3035, Arts Building Office hours: Tuesday, 4-6 pm. E-mail: [email protected] Webpage: http://www.tcd.ie/Economics/staff/narcisog/

Course Description

The aim of this module is to provide students with the skills required to undertake independent applied research using modern econometric methods. The course builds on the fundamental concepts developed in Module I and aims to extend students’ understanding of the subject to a more advanced level. The course attempts to provide a balance between theory and applied research. Module II Assessment Students will be required to complete 4 homework exercises and to undertake one individual project. Twenty percent of the marks for the course will be awarded for the combination of homework (5%) and project (15%).

Topics

1.

Stationary time series a. AR, MA, ARMA, ADL models Verbeek, Chapter 8 Enders, Chapter 1 and 2 Hayashi, Chapter 6 b. Autocorrelations and Partial Autocorrelation Functions. Identification, estimation, testing and forecasting Verbeek, Chapter 8 Enders, Chapter 2 c. ARCH/GARCH models Davidson and MacKinnon, Chapter 13 d. VAR models Enders, Chapter 5

2.

Unit roots and cointegration a. Models with trends, Unit roots and Units roots tests Enders, Chapter 4 b. Cointegration: Engle-Granger and Johansen procedures

Enders, Chapter 6 3.

Systems of Equations a. The seemingly unrelated regression model (SUR) Greene, Chapter 12

4.

Simultaneous equations models a. Simultaneous equation models: identification b. Estimation by 2SLS, 3SLS Greene, Chapter 13

5.

Models for Panel Data II a. GMM estimation of linear panel models b. Dynamic models Cameron and Trivedi, chapter 22

Readings -

Cameron, A.C. and Trivedi P.K. (2005), Microeconometrics, Cambridge University Press. Davidson, R.D. and MacKinnon J. G. (2004), Econometric Theory and Methods, Oxford University Press Enders, W. (2009), Applied Econometric Time Series, Wiley Greene, W. (2008), Econometric Analysis, Prentice Hall Hayashi, F. (2000), Econometrics, Princeton University Press Hamilton, J.D. (1994), Time Series Analysis, Princeton University Press Verbeek M. (2009), A guide to Modern Econometrics, Wiley Wooldridge, J.M. (2002), Econometric Analysis of Cross-Section and Panel Data, Princeton University Press