ECOM40006 / ECOM90013 Econometric Techniques Subject ...

ECOM40006 / ECOM90013 Econometric TechniquesSubject OutlineSemester 1, 2012LecturerLecturesTutorialsBill GriffithsRoom 628, Old Economics and Commerce8344 3622wegrif@unimelb.edu.auThe lecture schedule is:Wednesday 1.30pm to 3.00pm Babel-Chisholm Theatre (Room 305)Thursday 10.00am to 11.30am Babel-Chisholm Theatre (Room 305)At the time of preparing this outline, the following 3 tutorials were scheduled. There is apossibility that we may need 1 more, and a slight possibility we may need 2 more.Monday 10.00am to 11.00am 757 Swanston St, Room 317Tuesday 9.00am to 10.00am Old Arts, Room 254Thursday 3.15pm to 4.15pm Asia Centre, Room 118.Tentative Schedule of TopicsWeeks Topics1-3 1. Regression with Time Series Data: Stationary Variables1.1 Introduction1.2 Finite Distributed Lags1.3 Serial Correlation1.4 Estimation with AR(1) Errors1.5 Autoregressive Distributed Lag Models1.6 Forecasting1.7 Multiplier Analysis4 2. Regression with Time Series Data: Non-stationary Variables2.1 Stationary and Non-stationary Series2.2 Testing for Unit Roots2.3 Regression Models for Nonstationary Data5-7 3. Some Basic Foundations3.1 The Linear Regression Model in Matrix Notation3.2 Some Distribution Theory3.3 Interval Estimation

2WeeksTopics8-10 4. Moment-based Estimation and Instrumental Variables4.1 Stochastic Regressors4.2 Method of Moments and IV Estimation4.3 Two Stage Least Squares and Weak Instruments4.4 Properties and Further Tests11-12 5. Panel Data Models5.1 Pooled Least Squares and Fixed Effects5.2 Random Effects Models12 6. An Introduction to Bayesian EconometricsAssessment3 assignments worth 8.33% each for a total of 25%.Tutorial participation: 5%.A 3-hour final exam worth 70%.Assignments should be submitted in lectures on the due date.Subject MaterialBooksAll subject material including slides, tutorial exercises, assignments, solutions, andannouncements will be placed on the LMS. The following background material useful forTopics 3-5 is now on the LMS: 316-317 Handout on mathematical preliminaries. 316-317 Handout on matrices. 316-470 Handout on matrices used in previous years.The following books have been placed on Reserve in the Library:POE4 Hill, R.C., W.E. Griffiths and G.C. Lim (2011), Principles of Econometrics, fourthedition, New York: John Wiley and Sons.Heij Heij, C., P. de Boer, P.H. Franses, T. Kloek and H.K. van Dijk (2004),Econometric Methods with Applications in Business and Economics, Oxford:Oxford University Press.Greene Greene, W.H. (2012), Econometric Analysis, seventh edition, Upper Saddle River:Pearson Prentice Hall.Verb Verbeek, M. (2008), A Guide to Modern Econometrics, third edition, Chichester:John Wiley and Sons.John Johnston, J, and Dinardo, J (1997), Econometric Methods, 4th edition McGrawHill.LPE Griffiths, W.E., R.C. Hill and G.G. Judge (1993), Learning and PracticingEconometrics, John Wiley.Wool Wooldridge, J.M. (2009), Introductory Econometrics: A Modern Approach, 4 thedition, Cengage.Stock Stock, J.H. and M.W. Watson (2011), Introduction to Econometrics, 3 rd edition,Addison Wesley.

3EViewsStataGriffiths, W.E., R.C. Hill and G.C. Lim (2012), Using EViews for Principles ofEconometrics, 4th Edition, John Wiley.Adkins, L.C. and R.C. Hill (2011), Using Stata for Principles of Econometrics, 4thEdition, John Wiley.Notes on BooksTopics 1 and 2 will be taken from Chapters 9 and 12 of POE4. Many of you may have POE3(the third edition). I will discuss the differences between POE3 and POE4 in the first lecture.There is no set text for Topic 3. LPE and John are good for a gentle introduction toeconometrics in matrix algebra notation. Greene has everything in it, but it can be difficult tosort out the relevant bits that I am emphasizing. Verb and Heij are somewhere in the middle. Iwill refer to the relevant parts of these references as we go along. A 4 th edition of Verb isabout to appear, but I have not received my copy yet. Wool and Stock are about the samelevel as POE4; they do not use matrix algebra, but they have matrix results in a final chapteror appendix. My objectives are to expose you to the matrix algebra framework for the linearregression model, to get you comfortable doing algebra with matrices, and to have youappreciate the foundations for tests and estimators that you have been using routinely inIntroductory Econometrics.Topics 4 and 5 will be taken from Chapters 10 and 15 in POE4, but covered at a higher levelthat uses matrix algebra. References to other books will be given.Topic 6 is an advertisement for Bayesian Econometrics taught in 2 nd semester by LianaJacobi.SoftwareIn lectures, I will be using EViews screen shots to illustrate how to compute various estimatesand test statistics. For tutorial and assignment questions, I am happy for you to use eitherEViews or Stata. For this purpose I have asked for the EViews and Stata POE4 books to beplaced on Reserve in the Library. There could be a delay before the Stata book is available.Tutorial WorkThere will be weekly tutorial exercises, some to be attempted prior to the tutorial and some tobe completed at the tutorial. Attempting tutorial exercises and attending tutorials willcontribute 0.5% per tutorial to your assessment, up to a maximum of 5%. Tutorials start inweek 2 of the semester.Getting HelpI will be operating the online tutor. Also, my office hours will be 3pm to 5pm on Thursdays.If this time is unsuitable please email me to arrange an appointment at an alternative time.Good luck with your study. I hope you find the subject interesting, challenging, and useful.Bill Griffiths25 Feb 2012