Econometrics II (Econ 508)
Professor Norman R. Swanson
Fall 2009
A picture is
worth a thousand words. But so is a statistic ...
This is the third course in the econometrics sequence, and the first
elective econometrics course. The course primarily covers topics in
time series analysis. The aim of the course is to familiarize students with time
series methods from both an applied and a theoretical perspective. Emphasis in
the final project will be on empirical analysis, bootstrap nad Monte Carlo techniques,
while emphasis for the in-class test will be on
methodological issues discussed in class.
Important Dates (subject to change)
· tentative date: Wednesday October 14 - 3:00-4:30pm: Recitation: GAUSS demo. (cancelled - already completed in class)
· Wednesday October 21 - 3:00-4:30pm: Recitation: EVIEWS demo.
· Monday November 2 : In class midterm examination problem solving and question period. (cancelled)
· Monday November 9: In class midterm examination. (cancelled)
· Monday November 2 and 9. In class presentations.
· Monday December 7: Final project due in class.
· Econometrics 508 Course Syllabus. PDF Version.
· Econometrics 508 Lecture Notes. PDF Version.
· Econometrics 508 List of possible presentation papers. PDF Version.
· Econometrics 508 Additional Reading List. PDF Version.
· Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models PDF Version.
· Set of Practice Problems (do problems 1,2,3,4,6) PDF Version.
· Another Set of Practice Problems (do all) PDF Version.
· Solution Set for "Another Set of Practice Problems" PDF Version.
· old midterm exam (do problems 1a, 2, 3) PDF Version.
· old midterm exam (do all) PDF Version.
· old midterm exam (do problem 3) PDF Version.
· old final exam (do problems 1,4) PDF Version.
Software Examples and Discussion
· Basic Introduction to EVIEWS
· Gauss Monte Carlo Experiment Example
· Technical Notes.
· papers as they
are discussed in class
Additional Links
· Resources for Economists: Data Links, Econ Dept's,
Conferences, and Economists
· Any queries or
comments? Please click here ---> ---
nswanson@econ.rutgers.edu