Summer 2004, Lecturers:   Lizal (room 3, ext. 114) Münich (room 331, ext. 175)

TA: Peter Tóth,  Teodora Paligorova, Anu Kovaříková Arro  
This course is a direct sequel to Econometrics I. The objective of the course is to expose the student to variety of common and practical econometric challenges with the ultimate goal of gaining a stronger appreciation of strengths and weaknesses of econometric methodology and to overview historical developments in applied econometrics. The course assumes familiarity with the general linear model and knowledge how to deal with basic model and data deficiencies, simultaneous systems, and simple time-series processes. The course will start developing theoretical topics not covered in Econometrics I. The course will follow with different empirical research projects drawn from the literature. Each project will be introduced by the relevant economic theory-model. Using own and empirical data sets, the students will apply standard econometrics methods to answer basic economic questions. Exercise sessions will provide introduction into advance use of statistical packages TSP and Stata and a feedback on possible solutions of problem sets. The course will also require intensive work with data and statistical packages.

Prerequisites: Econometrics I or equivalent.

Requirements and grading: Evaluation is done on the basis of problem sets and exams. The weights are 40% problem sets, 25% midterm and 35% final exam. Getting Fail either from problem sets or exams means automatically Fail of the course. The final grade also reflects the overall assessment of the student’s work.
 

MIDTERM EXAM: Wednesday, June 2, 2004, reguler place (room 302) at regular time (10.30 a.m.). Calculator will be useful. 
 

Principal texts:

B = Berndt, Econometrics: Classics and Contemporary, Addison Wesley Publishing Co., 1991

LR = Lott and Ray, Applied Econometrics, Orlando FL, The Dryden Press, 1992 (selected chapters).

S = Studenmund, Using Econometrics: A Practical Guide, Addison Wesley Longman Inc., 2001.

W = Wooldridge, Jeffrey, Introductory Econometrics, 2^nd ed.

Supplementary references:

TSP User's Guide and Reference, http://www.CERGE-EI.cz/external/tsp/tsp.htm.

Stata Reference Manual and Stata User’s Guide.

Greene, Econometrics Analysis, NY, Macmillan Publishing Company, 1993.

Kennedy, A Guide to Econometrics, Cambridge MA, MIT Press, 1992.

Maddala, Econometrics, NY, 1977.
 

Class Schedule and Readings:

Chapters, topics, and econometric problems focused on from the principal texts:

1) basic regression and testing
2) variable choice, specification, and functional forms,
3) heteroskedasticity
4) autocorrelation,
5) dummy variables,
6) multicollinearity and distributer lags,
7) SUR,
8) simultaneous equations,
9) dichotomous choice,
10) errors in variables,
11) basics of panel data,
12) basics of limited dependent variables.

HW#1: deadline Thursday, May 27, 12:30 to Anu's mailbox. Late submission will result in a 10% reduction of points per day.

LR40 Unemployment in Malta (basic regression and testing, specification search, information criteria), all problems except 6 and 7. Data: A, B.

Sample Solution Guide for a Different Chapter from LR:
Tasks: LR33 Purchasing Power Parity and Exchange Rates.
Data: 1A, 1B, 2A, 2B.
Solution Guide (check numerical results, there are [un]intentional errors): Part1, Part2, Part3, Part4, Part5.

HW#2: deadline Monday, June 7, 12:30 to Anu's mailbox. Late submission will result in a 10% reduction of points per day.

"Information criteria and specification search" , all problems. Data: A, B.

You will be divided into groups by 2, randomly, and the groups will differ for each problem set. This schedule is only tentative.