Texts and Reading Materials: Dimitrios Asteriou and Stephen G. Hall, Applied Econometrics (New York: Palgrave-Macmillan Publishers, 2007; and PDF files of selected journal articles posted on Moodle.

Course Description

This course analyzes the inherent properties and statistical problems associated with estimating variables over time. It develops several econometric methodologies and forecasting techniques that enable economists to use efficiently the information contained in the past movements of variables to identify (and correct) spurious relationships and predict their future movements. Topics include: first and higher order autocorrelation tests such as the Breusch-Godfrey test, distributed lag and autoregressive models, ARIMA models, random walk models, co-integration analysis, vector autoregressive models, and impulse response functions (IRFs)..

During the spring term two major exams will be given on dates announced below. The exams will be a combination of short answer, numerical, and analytical problems. Exams will cover the assigned text, lectures, and any handouts or readings given in class. You will also be assigned homework and problem sets on a regular basis. Finally, you will be required to write a term paper that applies time series analysis to a pertinent topic in economics .

The tentative weights and dates of the components of your final grade are as follows:

                                                        Weights (%)                        Dates

First exam                                            25                              March 11 (F)

Second exam                                       25                                    TBA

Reviews plus problem sets                   20                                  (Weekly)

Class attendance plus participation         5

Research paper                                   25                              May 4 (W) by 4:00

My office is located in Williams Memorial, Room 227, and I will be available for consultation on T :10:30-11:50 and R: 1:40-2:30 (and by appt.). I will only accept messages on my phone system (X2487) in the event of an emergency. An emergency constitutes missing a scheduled exam, failing to hand in a written review or problem set, and not handing in the research paper on the scheduled date. Email messages are welcome as long as they pertain to substantive topics related to class material. Unexcused absences will be counted against you in the determination of your final grade.

I. Econometric Review and Basic Data Handling (4 weeks).

1. Week of January 24^th : Asteriou, chps 1- 3; Eviews example.

2. Week of January 31^st: Asteriou, chps. 4 and 5; and handout.

3. Week of February 7^th : Asteriou, chps. 6 and 8.

4. Week of February 14^th : Asteriou, chps. 9 and 10; and handout.

Suggested Readings: Gujarati, D.N., "The Matrix Approach to the Linear Regression Model." ; R. Vohra, "Export and Economic Growth: Further Time Series Evidence from Less-Developed," International Advances in Economic Research, Vol. 7, No. 3, August 2001, pp. 345-350; and Miguel D. Ramirez, "The Impact of Public Investment on Private Investment Spending in Latin America," Atlantic Economic Journal, Vol. 28, No. 2, June 2000, pp. 210-225.

II. Dynamic Econometric and ARIMA Models (approx 3 weeks).

5. Week of February 21^st : Asteriou, chp. 11 and handout.

6. Week of February 28^th : Asteriou, chp. 13; and Gujarati, chp. 17. (Trinity Days–no class on Friday.)

7. Week of March 7^th : Asteriou, Chps. 13 and 14; first exam on F (March 11th).

Suggested Readings: S. Almon, "Distributed Lag Between Capital Appropriations and Expenditures," Econometrica, Vol. 33, January 1965, pp. 178-196; R.W. Hafer, "The Role of Fiscal Policy in the St. Louis Equation," Economic Review, Federal Reserve Bank of St. Louis, January 1982, pp. 17-22; and, Michael Ye et al., "Forecasting Crude Oil Spot Prices Using OECD Petroleum Inventory Levels," International Advances in Economic Research, Vol. 8, No. 4, 2002, pp. 324-333.

III. ARCH Models, Non-stationarity, and Unit Roots ( 3 weeks).

8. Week of March 14^th: Asteriou, Chps. 14-15; spring break starts on F (March 18th).

9. Week of March 28^th : classes resume on W (March 30^th); Asteriou, chps. 15 and 16.

10. Week of April 4^th: Asteriou, chp. 16; 100-150 word abstract for term paper is due.

Suggested Readings: Gujarati, D.N., "Time Series Econometrics: Some Basic Concepts"; Patterson, K., "An Introduction to to Non-stationary Univariate Time Series Models"; Granger and Newbold, "Spurious Regressions in Econometrics," Journal of Econometrics, Vol. 2, 1974, pp. 111-120; Miguel D. Ramirez and Shahryar Khan, "A Cointegration Analysis of Purchasing Power Parity: 1973-96," International Advances in Economic Research, Vol. 5, No. 3, August 1999, pp. 369-385.

IV. VAR Models, Cointegration, and Error-Correction Models (2 weeks).

11. Week of April 11^th : Asteriou, chp. 16 (continued).

12. Week of April 18^th : Asteriou, chp. 17 (applications of cointegration and EC models).

Suggested Readings: Gujarati, D.N., "Time Series Econometrics: Forecasting"; R.F. Engle and C.W.J. Granger, "Co-integration and Error Correction: Representation, Estimation and Testing," Econometrica, Vol. 55, 1987, pp. 251-276; Ghali, K. R., "Public Investment and Private Capital Formation in a Vector Error-Correction Model of Growth," Applied Economics, Vol. 30, 1998, pp. 837-844.

V. Introduction to Non-Stationary Panels and Review (approx. 1 week).

13. Week of April 25^th Asteriou, chps. 18 and 20; classes end on F (April 29^th) .

Suggested Readings Baltagi, Badi H. Econometric Analysis of Panel Data, 2^nd edition. New York: John Wiley & Sons, LTD., 2001; Ramirez, Miguel D., "A Panel Unit Root and Panel Cointegration Analysis of the Complementarity Hypothesis in the Mexican Case, 1960-2001," Atlantic Economic Journal, Vol. 35, July 2007, pp. 343-356.