Universiteit van Tilburg
Econometric Methods
Prof. Jonathan B. Hill (with Prof. Feico Drost)
Prof. Jonathan B. Hill
Email: jbhill@email.unc.edu
Office : Koopmans 525
Jump to: Announcements
** Data
Sources ** EVIEWS ** Assignments/Slides
Introduction:
This course introduces the most common models and estimation techniques used in
empirical work in business and economics. Emphasis will be on which model to
use in which context. The course will discuss empirical applications in various
fields (marketing, finance, labour economics, macro-economics,
micro-economics). Students have to do "hands on" computer exercises
using a computer package (in this case, Eviews).
Lecture topics typically include the following. I will teach #1-3 and Prof. Drost will teach #4-#6.
1. Review for the standard Linear Regression Model (model formulation and interpretation, estimation and hypothesis testing, goodness of fit, predictions, dummy variables, choice of functional form, omitted variable problems, applications). This model is already introduced in Regression Analysis, but the emphasis will now be on interpretation and practical application in large samples.
2. Generalised Linear Model (heteroskedasticity, autocorrelation).
3. Models with endogenous regressors (instrumental variables estimation, two stage least squares, simultaneous equations, measurement errors).
4. Univariate time series models (stationarity and unit roots, Dickey-Fuller tests, ARMA and ARIMA models, forecasting.
5. Time series models with conditional heteroskedasticity (ARCH, GARCH, etc).
6. Linear panel data models (Linear models with fixed effects and random effects; static and dynamic models; least squares, IV and GMM).
Grading In the first half of the semester there will be 3 assignments worth 5% with blends of econometric theory and practice, involving both problem solving and EVIEWS applications. Additionally, there will be one exam worth 35%.
Reading
There is one required textbook:
|
Verbeek, M. (2008). A
Guide to Modern Econometrics 3e, Online Datasets |
The lectures by week with Verbeek text book chapters are as follows:
FIRS
|
Week |
Chapters |
Topics |
|
1 |
1-2 |
Introduction and linear regression model: OLS estimation and Gauss-Markov assumptions. |
|
2 |
2 |
Gauss-Markov assumptions, OLS estimator properties, goodness-of-fit measures, dummy variables, confidence bands and hypothesis tests |
|
3 |
2-3 |
Hypothesis tests (t, F, Wald), significance of model, large sample properties, collinearity, prediction, interpreting the linear model (marginal affects, elasticities), model specification and regressor set choice |
|
4 |
3-4 |
Comparing non-nested models, testing functional form (RESET test), testing for a structural break (Chow’s test) Heterosceasticity: OLS properties, GLS and FGLS estimation, inference |
|
5 |
5 |
Autocorrelation: OLS properties, GLS and FGLS, inference |
|
6 |
6 |
Endogeniety and instrumental variables, Two Stage Least Squares |
Announcements
(Oct. 18) Feel free to email me for your midterm scores (jbhill@email.unc.edu). The average is 79
and the standard deviation is 17.
Online Data Sources
The following are excellent sources of free on-line data.
Board of Governors of the Federal Reserve
System
Federal
Reserve of Saint Louis: FRED Data Bank
Extensive array of time series
data; seasonally adjusted or unadjusted; real or nominal.
National
Center for Health Statistics
Maintained by the Center for
Disease Control, provides substantial data on
health related topics.
The BLS, a branch of the Dept. of Labor, provides data and
research on a variety of labor topics.
Current
Population Survey [CPS]
Multiple panels of a wide
variety of labor/health statistics.
Econ & financial data links :
Business & Economic DataLinks
International Monetary Fund
[IMF]: Data bases.
World
Bank: Data archives.
Organization
of Economic Cooperation and Developement [OECD].
Penn World Table: A
large archive of country specific data provided by the
National
Bureau of Economic Research [NBER] General Data
Eco5.com:
Data
archive, working papers, forecasts, job markets: omnibus website for
economists.
Economagic
EVIEWS
Material
|
Eviews Information for Econometrics (guide/manual for this course) |
Assignments, Answer Keys
|
Slides |
Assignments/Keys |
Datasets |
Descriptions |