Applied Econometrics: 20052006 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
Week 
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. 
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. Some theoretical work on the consumption function 
Computer session 2

The two pieces of assessed coursework can be downloaded here: 
4a
4b 
Stochastic regressors, instrumental variables and weak exogeneity Instrumental variable notes from Stock and Watson

Additional notes

Computer session 3 Instrumental variables estimation Lab Ex 3 results (A slightly edited version of the above Word file) 

5a and 5b 
Panel data analysis 

Computer session 4 (RP)


6a and 6b 
Properties of time series: integrated processes, stationary and nonstationary 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 


