Economics 582:  Econometrics III

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Course Description

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

TA: Kaihua Deng (dengk at uw dot edu)

Spring 2013

This course is a continuation of Econ 581 (Econometrics II) and covers topics in econometrics beyond the basic linear model. 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, R, 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

�     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 and and random effects models

MoFunctional Form, Nonlinear, Semiparametric, and Nonparametric Regression Models

  • 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, R and STATA (20%)

  • In class Midterm exam (40%)

  • In class Final exam (40%)

Prerequisites

Satisfactory completion of Econ 581 or equivalent.

Required Textbooks

I will not be following one specific textbook. I will pull material from various sources as needed. The textbook by Greene used for Econ 581 has chapters on all of the topics we will cover in class but I don't particularly like Greene's presentation style.

Free Online Textbooks

Hansen, B. (2013). Econometrics, Unpublished book manuscript, Department of Economics, University of Wisconsin. Bruce is one of the top econometricians publishing today and he was my econometrics TA in graduate school. His book is a very modern introduction to graduate econometrics. His chapters are short, concise and well written. I will use several chapters from his book for this class.          

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 Time Series for Macroeconomics and Finance, Unpublished lecture notes, Graduate School of Business, University of Chicago.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 . This is a very nice set of lecture notes on time series models used in macroeconomics and finance. The emphasis is on models and not econometrics (no discussion of estimation, hypothesis testing or the evaluation of models)

Statistics and Data Analysis for Financial Engineering by David Ruppert, Springer-Verlag.  Book website. This book covers statistical models for financial data using R. I use this book in some of my other courses (econ 424 and econ 589). I will use several chapters on time series models for this course.

Optional Textbooks

Greene, W. (2008). Econometric Analysis, Sixth Edition. Pearson-Prentice Hall. (same textbook used for econ 581). Good as a reference, but I don't like it as a textbook. I will not utilize this book very much for this course. The sixth edition has several chapters on time series that are dropped from the seventh edition.

Hayashi, F. (2000). Econometrics. Princeton University Press. I use this book for my second year econ 583 (Econometric Theory I) course. I like it a lot but I think it is a bit hard for first year students overall. I will use several chapters on time series topics from this book for this class.

Verbeek, M. (2012). A Modern Guide to Econometrics, Fourth Edition. John Wile & Sons. Very nice applied econometrics book. Short and concise chapters covering topics in graduate level econometrics.

Wooldridge, J. M. Introductory Econometrics: A Modern Approach, 5th Edition. Thomson-Southwestern. Very good intermediate level econometrics textbook. Lots of great examples and very easy to follow theory with exceptional exposition. A must have textbook. I will use several chapters from this book for this class.

Berndt, E. (1991). The Practice of Econometrics: Classic and Contemporary. Addison Wesley. I think this is one of the best applied econometrics book available. Each chapter is a case study in econometrics, which walks you through the economic theory and econometric application. I will use several chapters for homework assignments in this class.

Kleiber, C., and Zeileis, A. (2008). Applied Econometrics with R, Springer-Verlag (Use R! series). Nice book on how to use R for graduate level econometrics. I will use R for many examples and this book serves as a very useful reference.

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