Economics 582:  Econometric Theory II

Home
Syllabus
Homework
TA Section
Announcements
Discussion Board

Course Description

Eric Zivot
 346 Savery Hall
email: ezivot at uw dot edu
543-6715
Office Hours: Monday 11-12

TA: Yufang Huang (yufan at uw dot edu)

Spring 2012

This course is a continuation of Econ 581 (Econometric Theory II) and focuses on time series models, dynamic regression models, and models with endogeneity. This course will stress models and methods over proofs (for proofs etc. take Econ 583). We will spend a great deal of time on the computer doing applied econometrics, and we will use EVIEWS, MATLAB, and STATA for most of our assignments.

Topics to be covered include:

Univariate Time Series Models and Dynamic Regression

  • Stationary and ergodic time series models, ARMA models, GARCH models

  • Forecasting and forecast evaluation

  • Regression models with lagged variables

  • Difference-stationary and trend stationary models

  • Unit root tests

  • Structural change

�     Multivariate Time Series Models

  • Vectorautoregressive models

  • Granger causality

  • Cointegration

No Models for Panel Data

  • Program evaluation and "diff and diff" regressions

  • Pooled regression

  • Fixed effects models

MoFunctional Form, Nonlinear, Semiparametric, and Nonparametric Regression Models

  • Binary variables

  • Nonlinearity in variables

  • Median and quantile regression

  • non-parametric regression

FuDiscrete Choice Models

  • Binary choice models

  • multiple choice models

Requirements

Credit for this course is obtained by successfully completing

  • Weekly homework assignments and computer lab work using Eviews, MATLAB and STATA (20%)

  • In class Midterm exam (40%)

  • In class Final exam (40%)

Prerequisites

Satisfactory completion of Econ 581 or equivalent.

Required Textbooks

Greene, W. (2008). Econometric Analysis, Sixth Edition. Pearson-Prentice Hall. (same textbook used for econ 581)

Verbeek, M. (2012). A Modern Guide to Econometrics, Fourth Edition. John Wile & Sons.

Cochrane, J.H. (2005). Time Series for Macroeconomics and Finance, Unpublished lecture notes, Graduate School of Business, University of Chicago. Available online at http://faculty.chicagobooth.edu/john.cochrane/research/papers/time_series_book.pdf

Optional Textbooks

Wooldridge, J. M. Introductory Econometrics, 4th Edition. Thomson-Southwestern.

Hayashi, F. (2000). Econometrics. Princeton University Press.

Berndt, E. (1991). The Practice of Econometrics: Classic and Contemporary. Addison Wesley.

Supplemental reading from journal articles and non-required textbooks (available on course webpage)