ECON 2032 Methods of Econometrics

This website serves as a notice-board for the course and will be updated as the course progresses.

Ex 4 (link repaired) to be discussed on Thursday March 18.

Details below on Project 2.

Last updated: 18 March 2010

Lectures & masterclass John Aldrich, Murray 3121  john.aldrich@soton.ac.uk  

Office hours   Wednesday 10.00-45 Thursday 3.00-45

 

 

Timetable

Lectures & masterclass: each week there are three sessions—which is the MC will vary according to convenience.

Monday          9.00 Murray lecture theatre

Wednesday     11.00 02/2065

Thursday        11.00  02/2065

 

Idea of course

This course is essentially a continuation of ECON 2026 Introduction to Econometrics. That course treated the basic regression model.  This one extends the model in various ways

·        To model a qualitative dependent variable, e.g. whether someone will buy a car

·        To jointly model a collection of variables, e.g. price and quantity in a market

·        To analyse time series data especially non-stationary time series.

·        To analyse data from a panel, i.e. a time series of cross-sections, e.g. annual data 1990-2004 on key macro variables for the G8 countries.

Besides treating these new modelling situations new estimation and testing methods will be introduced, including maximum likelihood, instrumental variables and likelihood ratio tests..

 

Notes  exercises data

Lecture notes, data and exercises will be accessible here. It is a good idea to print the notes before the lecture and annotate them while it is going on.

Notes1  Notes2    Notes3   Notes3a   Notes4   Notes5   Notes6   Notes7   Notes8   Notes9   Notes10   Notes11   Notes11a   Notes12   Notes13

Ex1  Ex2  Ex3   Ex4

Soln4

Data1   Data2 Mroz   (Mroz key)  Dataset3 truffles  (truffles technology)   Data4   Data5 Klein   Data6

 

For the relationship between the Notes and the book Principles of Econometrics see here.

 

Assessment

80% by examination, 20% by coursework.  Two group projects each contribute 10%.

For the projects work in a group of 3.

1st project to be handed in week 7: Monday 3pm. Project 1 details

2nd project to be handed in week 10: Wednesday 3pm.  Project 2 details

 

 

Computing

EViews will be used. EViews is available on all the university workstations. It is listed as Additional software either on the Start button or in a folder on the Desktop. You select it and it is loaded for the duration of your session.

 

See here for the online manual.

Books

The notes and the exercises define the course and books provide back-up.

The textbook for ECON 2026 has something to say on all the topics

·        R. C. Hill et al (2008) Principles of Econometrics (earlier editions were called Undergraduate Econometrics.)

However its treatment is often sketchy. For more detail you might want to consult the following 

·       G.S. Maddala Introduction to Econometrics 2nd edition (In Reserve )

·       D. N. Gujarati Basic Econometrics 3rd or 4th editions (In Reserve)

·       J. H. Stock & M. W. Watson Introduction to Econometrics (In Reserve)

Hall of Fame

I have awarded the Nobel prize to several economists for contributing to this course. The 2000 laureates James J. Heckman and Daniel L. McFadden worked on limited dependent variable models. The 1989 laureate Trygve Haavelmo developed the simultaneous equations model. Tinbergen (1969) and Klein (1980) were pioneer macroeconometric model builders. The 2003 laureate Clive Granger worked on cointegrated time series.