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.

Course Syllabus and Reading Lists

· 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.

In Class Presentations

· Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models PDF Version.

Practice Problems

· 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 Tests

· 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

Paper Presentation

Prepare a 20-30 minute overhead presentation of an econometrics paper either from the list of presentation papers given above, or of your own choosing in accord with your desired dissertation research area. All papers must be approved by me. Provide an overview and a critique of the paper, with focus on (i) the methodological/theoretical contributions or tools used in the paper; and (ii) any empirical and/or simulation content in the paper. Emphasis should be placed on item (i), however. Prepare a comprehensive handout to be given to members of the class on the day of your presentation. The handout should contain a complete discussion of all methodology developed, econometric tools used, and econometric theory in the paper. You are encouraged to use additional related papers and/or textbooks to help you "flesh" out the methodoogy and theory in the paper.

Final Project

Details of project to follow and to be discussed in class.

Project Due Date: last class.

Handouts

· Technical Notes.

· papers as they are discussed in class

Additional Links

· Resources for Economists: Data Links, Econ Dept's, Conferences, and Economists

· EVIEWS home

· Any queries or comments? Please click here ---> --- nswanson@econ.rutgers.edu

· Back to my home page