Econometrics II (Econ 508)
Professor Norman R. Swanson
Spring 2017



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A picture is worth a thousand words. But so is a statistic ...


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NOTE: Class never meets during the first recitation of a semester, if said recitation falls on a day befoere the first class of the semester. When recitations are run, you will be given ample notification prior to the recitation.




In the economics department, this is the third course in the econometrics sequence, and the first elective econometrics course. The course primarily covers topics in time series analysis. However, the class has been midified for the MSMF class. 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.


Learning Goals and Assessment

Departmental learning goals and assessment for graduate classes are detailed at the following website: http://economics.rutgers.edu/graduate/program/learning-goals

Additionally, departmental learning goals and assessment for masters students are detailed at the following website: http://economics.rutgers.edu/graduate/program/learning-goals-masters

In this course, and as fully detailed at the above referenced documents, learning goals and assessment will include:
(i) Attain marked ability, scholarship, research and leadership skills in economics, with specialization in selected sub-disciplines
(ii) Engage in and conduct original research
(iii) Prepare to be professionals in careers that require training at the highest levels in economics and selected sub-disciplines

Additionally, note that your course grade will be based on the results from 1 in class paper presentation (35%), in class midterm examination (35%), and a final project (30%). Note, if in class midterm is cancelled, then grade will be deterimned by equally weighting the in-class presentation and written class handbook and the final project.

The main focus of this course is on time series econometrics. Throughout the course, we will discuss and review topics including LM, LR, and Wald tests, ARIMA models, and maximum likelihood estimation. We will also cover VAR models, unit roots, cointegration, spurious regression, and Granger causality. Finally, we will discuss other time series topics including forecasting, continuous time financial models, bootstrapping, Monte Carlo methods, and GARCH. The overall focus of the course will be on financial and macro econometrics.

Important Dates (subject to change)

·  GAUSS demo. Date and place tba

·  EVIEWS demo. Date and place tba

·  Monday March 6th: Time will be allotted for in class midterm examination problem solving and questions, if needed.

·  Monday March 13th: In class midterm examination, if scheduled.

·  Monday March 20th and 27th (and April 3rd if necessary). In class presentations.

·  Last Meeting of Class: Final project due in class.



Course Syllabus and Reading Lists

·  Econometrics 508 Course Syllabus. PDF Version.

·  Econometrics 508 List of possible presentation papers. Note that this list is not current, and so I encourage you to explore the latest literatures of interest to you. PDF Version.

·  Econometrics 508 Additional Reading List. PDF Version.




In Class Prediction Methods Presentations

·  Forecasting Lecture Notes. PDF Version.

·  Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models - 2009 PDF Version.

·  Predictive Density Construction and Evaluation - 2010 PDF Version.

·  Predictive Density Construction and Evaluation - Lecture Notes - 2011 PDF Version.

·  Density and Conditional Distribution Evaluation and Construction - 2012 PDF Version.

·  Methods for Short Term Forecast Model Estimation and Accuracy Assessment - 2012 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

·  Gauss Program #1

·  Gauss Program #2

·  Gauss Program #3

·  Gauss Program #4



Paper Presentation

Prepare an approximately 5 minute presentation of an econometrics paper or set of related papers either from the list of presentation papers given above, or of your own choosing in accord with your desired research area. All papers must be approved by me. General "topics" of interest to the class (rather than particular papers) may also be allowed; again subject to my approval. Provide an overview and a critique of the paper(s) or topic, with focus on (i) the methodological/theoretical contributions or tools used in the paper; and (ii) for paper(s), any empirical and/or simulation content in the paper(s). 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 or for the topic. You are encouraged to use additional related papers and/or textbooks to help you "flesh" out the methodoogy and theory in the paper (topic).


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