PPT-Econometrics

Session 1 Introduction Amine Ouazad Asst Prof of Economics Preliminaries Session 1 Introduction Introduction Who I am Arbitrage Textbook Grading Homework Implementation Session 1. It surveys the history both of the paper and of the problem in the statistics and econometrics literature 2000 Elsevier Science SA All rights reserved JEL classi cation B23 C10 Keywords Incidental parameters Bayes Nuisance parameters Maximum likelih For example Bera and Higgins 1993 p315 remarked that a major contribution of the ARCH literature is the 64257nding that apparent changes in the volatility of economic time series may be predictable and result from a speci64257c type of nonlinear dep Corresponding author. Department of Econometrics, Gazi University, 06500, Ankara, Turkey. E-mail address: julide@gazi.edu.tr. Phone: +90 312 216 1301. Fax: +90 312 2132036. 2 Analysing the Determinan Advanced . Panel Data Techniques. 2. Advanced Panel Data Topics. Fixed Effects estimation. STATA stuff: . xtreg. Autocorrelation/Cluster correction. But first! Review of . heteroskedasticity. Probably won’t get to details:. Professor William Greene. Stern School of Business. Department . of Economics. Econometrics I. Part . 24 – Bayesian Estimation. Bayesian Estimators. “Random Parameters” vs. Randomly Distributed Parameters. Textbook. Damodar. . N. Gujarati (2004) . Basic . Econometrics. ,. . 4th . edition, . The . McGraw-Hill Companies. ECONOMETRICS I. INTRODUCTION. What is econometrics?. Literally econometrics mean economic measurement.. Professor William Greene. Stern School of Business. Department . of Economics. Econometrics I. Part . 3 – Least Squares Algebra. Vocabulary. Some terms. to be used in the discussion.. Population characteristics and entities vs. sample quantities and analogs. LAWSANDLIMITSOFECONOMETRICS*PeterC.B.PhillipsWediscussgeneralweaknessesandlimitationsoftheeconometricapproach.Atemplatefromsociologyisusedtoformulatesixlawsthatcharacterisemainstreamactivitiesofeconom 1. An Introduction to Econometrics. Prepared by Vera Tabakova, East Carolina University. Chapter 1: . An Introduction to Econometrics. 1.1 Why Study Econometrics. 1.2 What is Econometrics About. 1.3 The Econometric Model. Professor William Greene. Stern School of Business. Department . of Economics. Econometrics I. Part . 23 – Simulation Based Estimation. Settings. Conditional and unconditional log likelihoods. Likelihood function to be maximized contains unobservables. 12. Nonstationary Time Series Data and Cointegration. Prepared by Vera Tabakova, East Carolina University. Chapter 12: . Nonstationary Time Series Data and Cointegration. 12.1 Stationary and Nonstationary Variables. Teaching Quantitative Reasoning. Jason Hecht (ASB). November 4, 2015. 2. Despite My Best Efforts…Top 7 Things Students “Learn” in Econometrics… . How to juggle numbers without moving (or thinking).. ECO 54 History of Economic Thought. Udayan. Roy. What is Econometrics?. Econometrics literally means ‘economic measurement’. . Here . is how . Ragnar. Frisch (1895 – 1973), one of the founders of the subject, defined econometrics:. 11. Simultaneous Equations Models. Prepared by Vera Tabakova, East Carolina University. Chapter 11: Simultaneous Equations Models. 11.1 A Supply and Demand Model. 11.2 The Reduced Form Equations. 11.3 The Failure of Least Squares.