Economics 582:  Econometrics III

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Syllabus

Spring 2013

Last updated: June 3, 2013

Note:  * denotes the most relevant reading.

Covariance Stationary Univariate Time Series Models

Textbook Readings

Additional Readings

• Greene 7th Edition, chapter 20. Greene 6th Edition chapters 19 and 21.
• Cochrane, chapters 1 - 6.
• Hayashi, chapter 2 section 2; chapter 6 sections 1-5.
• Ruppert, chapter 9 sections 1-8 and 11-13.
• Hansen, chapter 17 section 1-8.
• Verbeek, chapter 8 sections 1-2.

• Zivot, E (2013). Lecture notes on univariate stationary time series. Powerpoint examples.
• Zivot (2013). Lecture notes on Box-Jenkins analysis of ARMA models. Powerpoint examples.
• Zivot, E (2013). Lecture notes on Forecasting. Powerpoint examples.
• Zivot, E (2012). Lecture notes on Forecast Evaluation.
• Diebold, F.X. and R.S. Mariano (1995), "Comparing Predictive Accuracy," Journal of Business and Economic Statistics, 13, 253-265. Re-printed in Journal of Business and Economic Statistics, 20(1), 134-145, January 2002.
• Tablet PC slides for lecture 1
• Tablet PC slides for lecture 2
• Tablet PC slides for lecture 3
• Tablet PC slides for lecture 4
• Tablet PC slides for lecture 5

• Greene 6th Edition, chapter 22.
• Verbeek, chapter 8 sections 3 and 4.
• Cochrane, chapters 10 and 11.
• Ruppert, chapter 9 sections 9-10.
• Hayashi, chapter 9.
• Hansen, chapter 17 sections 9-12.

• Zivot, E (2012). Lecture notes on trend cycle decompositions and unit root tests.  Powerpoint examples.
• Nelson, C.R. and C.I. Plosser (1982), "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications," Journal of Monetary Economics, 10, 139-162.
• Tablet PC slides for lecture 6
• Tablet PC slides for lecture 7

 Dynamic Regression Models

Textbook Readings

Additional Readings

• Greene 6th Edition, chapter 20, sections 1-5.
• Verbeek, chapter 9, section 1.

• Zivot, E (2012). Lecture notes on dynamic regression models.
• Berndt, The Practice of Econometrics, chapters 6 and 7
• Tablet PC notes:

Multivariate Time Series Models

• Greene 6th Edition chapter 20, section 6; chapter 22, section 3.
• Cochrane chapter 3 section 4; chapter 4 section 5; chapter 7.
• Verbeek chapter 9, section 4 (VAR models); sections 5 and 6 (cointegration)
• Hayashi, chapter 10.
• Ruppert, chapter 10 section 3.
• Hansen, chapter 18

• Zivot, E (2012). Lecture notes on multivariate time series. Powerpoint examples.
• Zivot (2012). Lecture notes on cointegration. Powerpoint examples (updated May 18th, 2012)
• Zivot (2012). Lecture notes on estimation and inference in cointegration models (updated May 18th, 2012)
• Stock and Watson (2001), "Vector Autoregressions", Journal of Economic Perspectives, 15(4).
• Tablet PC notes:

Pooled Cross Section and Panel Models

Textbook Readings

Additional Readings

• Greene 6th Edition, chapter 9.
• Verbeek, chapter 10 sections 1-5.
• Hansen, chapter 20.

• Zivot, E (2012). Lecture notes on pooled cross section and panel data (updated May 15, 2013).
• Zivot, E. (2012). Lecture notes on fixed effects estimation of panel data models (updated May 15, 2013)
• Zivot, E. (2012). Lecture notes on random effects estimation of panel data models (updated May 15, 2013)
• Tablet PC notes:

Nonparametric Regression and Quantile Regression

Textbook Readings

Additional Readings

• Greene 6th Edition, chapter 9.
• Hansen, chapters 11-13.
• Ruppert, chapter 21.

• Zivot, E (2013). Lecture notes on nonparametric regression (updated May 25, 2013)
• Zivot (2013). Lecture notes on nonlinear regression (updated June 3, 2013).
• Zivot, E (2013). Lecture notes on quantile regression.
• Tablet PC notes: