Advanced Econometrics EC312

This course refers to the Academic Year 2014/2015

The link to the official page of the course is available here.

This course, given by Dr. Marcia Schafgans and Dr. Tatiana Komarova, will present an advanced treatment of econometric principles for cross-sectional, panel and time-series data sets. While concentrating on linear models, some non-linear cases will also be discussed, notably limited dependent variable models and generalised methods of moments. The course will focus on modern econometric techniques, addressing both technical derivations and practical applications. Applications in the areas of microeconomics, macroeconomics and finance will be considered.

The topics covered will include.

  • Module 1: Main Regression. Topics to include: Principles of Estimation (Ordinary Least Squares, Generalized Least Squares and Maximum Likelihood Estimation with Micro-Econometric applications); Principles of Testing (t- and F-test; Wald, Likelihood Ratio, Lagrange Multiplier Testing Principles). Time Series: Basic Time Series Processes; Stationarity and Nonstationarity – Unit roots and Cointegration.
  • Module 2: Estimation Methodology. Topics to include: Endogeneity in linear regression models; Instruments; 2SLS estimator and Generalized IV estimator; Simultaneous equations. Motivation, definition and asymptotic properties of GMM estimator; Efficient GMM estimation; Over-identifying restrictions. Introduction to Panel Data Models: Fixed effect and random effect models. Arellano-Bond estimator in dynamic panel data models. Introduction to Quantile estimation.

Material will be provided by the lecturers, however the following two books represent a good general reference

M. Verbeek, Modern Econometrics, (3rd edition), Wiley (2008).

W.H. Greene, Econometric Analysis, (7th edition), Pearson Prentice Hall (2011).

The assessment occurs through two written examinations.

Throughout the course additional documents, clarifications and further material will be uploaded on this page. In case of any question do not hesitate to contact me.

Preliminary – final class allocations are available here.

Class 1: introduction and “say-hi” session.

Class 2: a nice summer song, though dull ☁   and full of econometrics, it’s still summer ☺ .

Class 3: to help you getting your hands on stata and the current problem set, I prepared a clear and well-explained answer sheet to replicate class results (here).

Class 4: a very important website for all of those interested in development and, hence, development data (less interestingly the Durbin-Watson tables can be found here).

Class 5: the do-file for today’s class (here) and an inspiring quote on economic research.

Class 6: some bizarre correlations to introduce the class on stationarity and cointegration and a great article by Granger and Newbold on spurious regressions in economics.

Class IV: this funny pic to begin the class.