Applied Econometrics: 2005-2006 Outline & Teaching Materials

Note: These pages give materials for the BA degree honours year Applied Econometrics class. Please note that this page is in the process of being updated, and so some of the contents of the later weeks are subject to change.

Please note that the teaching for Weeks 6 to 9 will be taken by Julia Darby. Teaching materials for Julia's classes will be available at:


Lecture Notes

Reference Notes

Lab Exercise

Other Reading

2a and 2b

Dynamic Econometric Modelling: methodology; dynamic models; alternative parameterisations; the error correction mechanism. Parsimony, general to specific search procedure, OLS estimator and properties, testing restrictions.

Lecture 1: Small font version

Lecture1: Large font presentation version

Estimation and Statistical Inference under a variety of different assumptions



Lecture 1: Full version


Computer session 1


Excel file for computer session 1

Batch file for computer session 1

Hints for Lab Exercise 1


Applied Econometrics Course Outline 2005- 2006

Mini exercise:



3a and 3b

Model misspecification and misspecification testing.


Full version of Lecture 2 notes.

Lecture2 (full version)

Some theoretical work on the consumption function


Computer session 2



The two pieces of assessed coursework can be downloaded here:

Assessment 1

Assessment 2






Stochastic regressors, instrumental variables and weak exogeneity

Instrumental variable notes from Stock and Watson


Additional notes


PowerPoint file:


Excel file for S & W notes

Computer session 3


Instrumental variables estimation

Lab Ex 3 results (Word file)

Lab Ex 3 results (A slightly edited version of the above Word file)


5a and 5b

Panel data analysis

Lecture notes



Computer session 4 (RP)


Excel file



6a and 6b

Properties of time series: integrated processes, stationary and non-stationary series, unit roots, spurious regression.



Computer session 5



7a and 7b

More on unit roots; unit root testing


Week 7 Lab exercise


8a and 8b

Cointegration in single equations


Week 8 Lab exercise


9a and 9b

Cointegration in single equations: the EG 2 step approach and its limitations