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 15.
 Ruppert, chapter 9 sections 18 and 1113.
 Hansen, chapter 17 section 18.
 Verbeek, chapter 8 sections 12.

 Zivot, E (2013).
Lecture notes on
univariate stationary time series.
Powerpoint examples.
 Zivot (2013).
Lecture notes on BoxJenkins 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, 253265. Reprinted in Journal of Business and
Economic Statistics, 20(1), 134145, 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

Nonstationary Time Models:
Difference Stationary (unit root) and Trend stationary Models 
Textbook
Readings 
Additional
Readings 
 Greene 6th Edition, chapter 22.
 Verbeek, chapter 8 sections 3 and 4.
 Cochrane, chapters 10 and 11.
 Ruppert, chapter 9 sections 910.
 Hayashi, chapter 9.
 Hansen, chapter 17 sections 912.

 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, 139162.
 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 15.
 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 
Textbook Readings 
Additional Readings 
 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


Pooled Cross Section
and Panel Models 
Textbook
Readings 
Additional
Readings 
 Greene 6th Edition, chapter 9.
 Verbeek, chapter 10 sections 15.
 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 1113.
 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:
