Department of Economics

                                                                                                                    Applied Econometrics: Time Series Analysis

Miguel D. Ramirez                                                                                                                                                                                                                                         Econ. 328, Spring 2016

Texts and Reading Materials: Dimitrios Asteriou and Stephen G. Hall, Applied Econometrics, Third Edition (New York: Palgrave-Macmillan Publishers, 2016; and PDF files of selected journal articles and chapters will be 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 GARCH models.

Course requirements

During the spring term a mid-term (in-class) exam will be given on March 6th. The exam will be a combination of short answer, numerical, and analytical problems. The exam 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 .

Course Grades

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

                                                        Weights (%)                        Dates

Mid-term exam                                    30                              March 11th (F)

Reviews plus problem sets                   25                                  (Weekly)

Class attendance plus participation       10

Final Research paper                           35                              May 6th (F) by 4:30

 

 

Office Hours and other Administrative Information

My office is located in Williams Memorial, Room 227, and I will be available for consultation on T :2:15-3:15 and R: 10:15-11:50 (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. Please refrain from getting up in class and TURN OFF all mobile devices; also, please DO NOT look at websites and/or exchange email with your friends (and classmates) when using the in-class desk computers!

Schedule

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

1. Week of January 25th : Asteriou, chps 1- 3; Eviews example.

2. Week of February 1st  : Asteriou, chps. 4 and 5; and handout.

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

4. Week of February 15th: 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, Unit Roots, and ARIMA Models (approx 3 weeks).

5. Week of February 22nd : Asteriou, chp. 16 and handout. (Trinity Days: No class on Friday).

6. Week of February 29th : Asteriou, chp. 13; and Gujarati, chp. 13 (posted on Moodle).

7. Week of March 7th : Asteriou, Chps. 13; mid-term exam on F (March 11th). ; spring break starts on S (March 12th).

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.  Non-stationarity, Cointegration and Error-Correction Models ( 3 weeks).

8. Week of March 21st: classes resume on W (March 23rd ); Asteriou, chp. 17 and Gujarati, chp.14 (posted on Moodle).

9. Week of March 28th : Asteriou, chp. 17 and Gujarati, chp.14.

10. Week of April 4th :  Gujarati, chp. 14 (continued); 100-150 word abstract for term paper is due on F (April 8th).

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, VECM, and GARCH Models (2 weeks).

11. Week of April 11th : Asteriou, chp. 15 (Var models) and Asteriou, chp. 17 (Vecm models).

12. Week of April 18th : Asteriou, chp. 14 (Arch and Garch 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;  Miguel D. Ramirez and Zsofia Komuves, "Economic Infrastructure, Private Capital Formation, and FDI Inflows to Hungary: A Unit Root and Cointegration Analysis with Structural Breaks," Atlantic Economic Journal, Vol. 42, Issue 4 (December 2014): 367-382; Jose Luis Gallegos et al., " Competition Between Latin America and China for US Direct Investment," Global Economy Journal, Vol. 8, Issue 2, 2008: 1-20.

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

13. Week of April 25th  :Asteriou, chps. 21 and 23 (time permitting); classes end on F (April 29th).

Suggested Readings Baltagi, Badi H. Econometric Analysis of Panel Data, 2nd 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; A. H. Ahmad and Su-ling Fanelli, "Fiscal Sustainability in the Eurozone: Is There A Role for Euro-Bonds? Atlantic Economic Journal, Vol. 42, September 2014, pp. 291-303.