Econometric methods. Part IIb.

In this part methods for cross-sectional and time series data of various types, duration data, transition data and panel data will be covered. The course starts with review of regression methods. Classical econometric methods two-stage-least-squares, instrumental methods, three-stage-least-squares etc. Co-integration with Johansen method is introduced. Methods suitable for microeconometric analysis are introduced.

Textbooks: Main text will be:

Davidson, R. and MacKinnon, J.G.: Estimation and Inference in Econometrics. (D &M)

Supplementary books will be:

Lancaster, T.: The Econometrics Analysis of Transition Data. and
Amemiya, T.: Advanced Econometrics.
Charemza, W.W. and Deadman, D.F.: New Directions in Econometric Practice.

Any book on econometrics will be useful. Also books on linear models, survival or reliability etc.

Examination:

Students are expected to turn in exercises. The course will finish with a 4 hour written exam.

A revised time schedule:

Week 11-13: Review of regression methods. Single equations models, simultaneous equation models, OLS, two-stage-least-squares, instrumental methods, three-stage least squares. Maximum-likelihood methods, non-normal models. (D&M, ch. 1-8 and D&M ch. 18)

Week 14-16. Inference in econometric models, GLS, GMM. Tests, serial correlation, heteroskedacity, specification etc. Unit roots and cointegration. (D&M ch. 9-13, 16,17,19-20).

Week 17-18. Models for duration data, counting processess, panel data. (D&M ch. 14, 15 and selected chapters from Amemiya and Lancaster)

Week 19-20. Review of econometriy theory and practice, estimation priciples, Bayesian methods.

Excercises from Berndt (1991). On monday March 24th, 7 people have made their selection on what excercises they are going to do. There is a slight overlap, the excercise 2.3 being the most popular. Such a sligth overlap is quite OK.  If you want to know who chose what see here .