Econometrics II – Winter 2007

 

Hector: Pass the parcel.  That’s sometimes all you can do.  Take it, feel it and pass it on.  Not for me, not for you, but for someone, somewhere, one day.  Pass it on, boys.  That’s the game I wanted you to learn.  Pass it on.

From The History Boys, a play by Alan Bennett

Please report to byront at u.washington.edu for any typo, blunder or nonsense.

 

OFFICE HOURS: Tuesdays 3:00-4:00 and Fridays 12:30-1:30

VENUE: the Small Conference Room in the Department of Economics Main Office, not my office (it is too small).

 

EMAIL: byront at u.washington.edu

Since office hours are quite scarce, you are encouraged to send me emails.  I check my email account regularly from 10:00 to 6:00 every day. 

 

Things I Say

Topic 0 (5th Jan) – Using Matlab and EViews: Data

Topic 1 (12th Jan) – Regression vs. Projection (Hansen Chapter 3)

Topic 2 (19th Jan) – Least Squares (Hansen Chapter 4 + More Geometry)

Topic 3 (2nd Feb) – Very Basics of Hypothesis Testing

Review (2nd Feb) – Summary of the Properties of the Least Squares Estimator

Topic 4 (9th Feb) – Nonspherical Disturbances: Serial Correlation (Greene Chapters 10 and 12)

     Spherical Disturbance Intuition (It is only meaningful for normal distribution!)

Topic 5 (16th Feb) – Nonspherical Disturbances: Heteroskedasticity (including ARCH) (Greene Chapter 11)

Topic 6 (22nd Feb) – Fill-in Lecture: Maximum Likelihood Estimation (Greene Chapter 17)

     Allan W. Gregory; Michael R. Veall (1985): Formulating Wald Tests of Nonlinear Restrictions (Econometrica, Vol. 53, No.  6., pp. 1465-1468)

Topic 7 (23th Feb) – Lag Operator       arma.prg

Topic 8 (2nd Mar) – Discrete Choice/ Limited Dependent Variable Models (Greene Chapters 21 and 22)

 

******Complete Set of Lecture Notes (Preliminary) ******

 

******Marathon Review Session******

Date: March 13th 2007 

Time: 4:30 – whenever necessary

Venue: We will first try Savery 216

Note: I welcome you to bring any food or non-alcoholic drink

 

Things I Grade

Homework 1 (Due 12th Jan) – Using Matlab and EViews          Suggested Solution   hw1a.m   hw1b.m

Homework 2 (Due 19th Jan) – Regression vs. Projection           Suggested Solution   hw2.m

Homework 3 (Due 26th Jan) – Least Squares and Geometry      Suggested Solution

Mega Homework 1 (Due 12th Feb) - Testing the Permanent Income Hypothesis of Consumption           hall_data

Sample Mega Homework – Though it has some problems and mistakes, this project is quite well-written and the extension part if quite interesting.

Homework 4 (Due 2nd Feb) – Some Geometry and Some Hypothesis Testing      Suggested Solution    hw4.m

Homework 5 (Due 16th Feb) – Nonspherical Disturbances: Serial Correlation   phillips.xls   Suggested Solution  hw51.m  hw52.m

Homework 6 (Due 23rd Feb) – Nonspherical Disturbances: Heteroskedasticity  affairs.wf1  Suggested Solution  hw61.m hw62.m

Homework 7 (Due 2nd Mar) – Maximum Likelihood Estimation + Forecasting   Suggested Solution  hw71.m  hw72.m  ll.m

Mega Homework 2 (Due 9th Mar) – Can the Term Structure of Interest Rates Predict Inflation?     termstructure.xls

Homework 8 (Due 9th Mar) – Discrete Choice/ Limited Dependent Variable Models   Suggested Solution

 

Things to Read

Bruce Hansen’s Online Lecture Notes Econometrics

Kaare Petersen and Michael Petersen’s The Matrix Cookbook

 

Things for Non-Exam-Oriented Minds

The Responsibility of the Econometrician by Ragnar Frisch (Econometrica, Vol. 14, No. 1., Jan., 1946, pp. 1-4)

The Craft of Labormetrics by Daniel S. Hamermesh (Industrial and Labor Relations Review, Vol. 53, No. 3., Apr., 2000, pp. 363-380)

The Scope and Limitations of Econometrics by Lawrence R. Klein (Applied Statistics, Vol. 6, No. 1., Mar., 1957, pp. 1-17)

Let's Take the Con Out of Econometrics by Edward E. Leamer (American Economic Review, Vol. 73, No. 1., Mar., 1983, pp. 31-43)

The Place of Least Squares in Econometrics by Frederick V. Waugh (Econometrica, Vol. 29, No. 3., Jul., 1961, pp. 386-396)