ECOM40006 / ECOM90013 Econometric Techniques Subject ...

ECOM40006 / ECOM90013 Econometric TechniquesSubject OutlineSemester 1, 2011LecturerLecturesBill GriffithsRoom 628, Old Economics and Commerce8344 3622wegrif@unimelb.edu.auThe lecture schedule is:Wednesday 1.30pm to 3.00pm Botany-Turner Theatre (Room 124)Thursday 10.00am to 12.00pm Babel-Chisholm Theatre (Room 305)For approximately the first 6 weeks, the subject will be taught in two streams – Applied andTheory. At the end of 6 weeks, we will assess whether this is a successful strategy, or whetherit is better to combine the two approaches. During the 6-week experimental phase the lasthour in each week will be devoted to the Theory stream; the remainder of the time will bedevoted to the Applied stream. Thus, the lecture format will be:Wednesday 1.35pm to 2.50pm Applied streamThursday 10.05am to 10.55am Applied streamThursday 11.05am to 11.55pm Theory streamLectures will be used for tutorial-style work to discuss assignments as is required.Schedule of TopicsThe following schedule is a tentative one. The timing is uncertain. We will make adjustmentsas necessary.Week Applied Stream Theory Stream1,2 Regression with Time Series Data: Linear Regression Model in Matrix Notation.Stationary VariablesDistribution Theory.3 Regression with Time Series Data: Inference in the Linear Regression ModelNon-stationary Variables4,5 Moment-based Estimation and Properties of Least Squares UnderInstrumental VariablesAlternative Assumptions. Robust StandardErrors and Generalized Least Squares6,7 Panel Data Models Generalized Method of Moments8 Censored Sample and Sample SelectionModels. Treatment Effects9,10 Multivariate Time Series11 Bayesian Econometrics12 Review

2Assessment4 assignments worth 7.5% each for a total of 30%.A 2-hour final exam worth 70%.Assignments should be submitted in lectures on the due date.Subject MaterialBooksAll subject material including overheads, assignments, solutions to assignments andannouncements will be placed on the LMS. The following background material useful for thetheory stream 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. (2008), Econometric Analysis, sixth 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.The first 8 weeks of the Applied stream will use POE4 Chapters 9, 12, 10, 15 and parts of 7and 16. There are some substantial differences between POE4 and the 3 rd edition (POE3),particularly in Chapters 9 and 15. I appreciate that most of you are likely to own POE3, andare unlikely to want to purchase the new edition. POE4 will be on Reserve in the Library. Ifyou would like to buy a new copy, it is available either as a hard copy or electronically. Go tohttp://au.wiley.com/WileyCDA/WileyTitle/productCd-EHEP001750.html and scroll down to“Available Versions” at the bottom of the page.Material for the Theory stream and for the applied topics in the later weeks will be drawnfrom the other references. I will refer to the relevant parts of those references as we go along.SoftwareEViews. Version 7 is the latest full version of EViews. Version 6 is the latest student version.I will alert you to any differences.Getting HelpI will be operating the online tutor. Also, my office hours will be 3pm to 5pm on Mondays. Ifthis 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 Griffiths23 Feb 2011