Applied Econometrics: 2005-2006 Outline & Teaching Materials
http://homepages.strath.ac.uk/~hbs96127/outline.htm
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:
http://www.economics.strath.ac.uk/julia/teaching/ae.html
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Week |
Lecture Notes |
Reference Notes |
Lab Exercise |
Other Reading |
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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. |
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: |
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3a and 3b |
Model misspecification and misspecification testing. |
Full version of Lecture 2 notes. Some theoretical work on the consumption function |
Computer session 2
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The two pieces of assessed coursework can be downloaded here: |
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4a
4b |
Stochastic regressors, instrumental variables and weak exogeneity Instrumental variable notes from Stock and Watson
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Additional notes
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Computer session 3 Instrumental variables estimation Lab Ex 3 results (A slightly edited version of the above Word file) |
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5a and 5b |
Panel data analysis |
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Computer session 4 (RP)
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6a and 6b |
Properties of time series: integrated processes, stationary and non-stationary series, unit roots, spurious regression. |
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Computer session 5
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7a and 7b |
More on unit roots; unit root testing |
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Week 7 Lab exercise |
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8a and 8b |
Cointegration in single equations |
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Week 8 Lab exercise |
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9a and 9b |
Cointegration in single equations: the EG 2 step approach and its limitations |
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