EC902-ECONOMETRICS A: First Term: Michael Clements Second Term: Valentina Corradi

Second term instructor: Valentina Corradi Office: Social Studies Building S1.112 Tel: 765 28414, e-mail: V.Corradi@warwick.ac.uk Webpage: http://www2.warwick.ac.uk/fac/soc/economics/staff/faculty/corradi/ Office Hours: Thursday 10.30am-12.30pm or by appointment

Organization: Two hours lecture per week : Monday 2-3pm L5 and Wednesday 9-10am LIB1 There will be an hour of class per week: students will be assigned to one group. Classes start from the week of January 23. All classes will be given by Daniel Gutnecht Classes focus on methodological and applied exercises and on homework solutions and discussion. Aims and Objectives: This module provides a solid training in econometrics with an emphasis on empirical modelling of economic data. It will enable students to develop necessary skills to carry out good quality empirical research. This module is a postgraduate-level introductory econometrics. Prerequisites: a thorough knowledge of undergraduate-level statistics and mathematics for economics/business. By the end of the course the student would have developed (i) a deeper and broader knowledge and understanding of material needed for empirical quantitative analysis; (ii) the habit of thought, knowledge and understanding in order to carry out good quality applied econometric research; (iii) the necessary skills to econometric results obtained by other researchers. The emphasis throughout the module is on the application of standard techniques. Assessment: There is an open-ended Econometrics Project, a report on an individual investigation you carry out, to be handed in to the Postgraduate Office (Room S2.133) by Monday March 19 at 3.30pm. The project has a weight of 25 percent. The remaining 75 per cent of your mark is based on your final examination in May. Part 1: Required Textbook: Wooldridge, J.M, Introductory Econometrics: A Modern Approach, South Western, Fourth Edition. Lecture Notes availaible from the web Other books: Greene, W.: Econometric Analysis, Prentice Hall, 5th Edition, 2003 (harder than Wooldridge) Stock J.H. and M.W. Watson, Introduction to Econometrics, Addison Wesley, 2003 (softer than Wooldridge) Verbeek M. A Guide to Modern Econometrics, Third Edition, Wiley

Syllabus

(1) Introduction to Time Series Models. (i) Dynamic Misspecification (ii) Testing for Autocorrelation
(iii) Estimation of covariance matrices in the presence of autocorrelation and conditional heteroskedasticity

(2) Modelling Univariate Time Series: (i) ARMA models (iii) Introduction to Nonlinear Least
Squares (iv) Estimation of ARMA models

(3) Unit Root Processes: (i) Testing for unit roots (ii) Unit Root Tests Robust to Correlated Errors (iii)
Stationarity Tests

(4) Multivariate Time Series: (i) Spurious Regression (ii) Cointegrated System and Error Correction
Representation (iii) Testing for no cointegration (iv) Tests Robust to Correlated Errors (v) Testing for the null of cointegration

(5) Autoregressive Conditional Heteroskedasticity: (i) Stylized facts of financial time series, (ii)
ARCH, (iii) GARCH.

(6) Panel Data I: (i) Fixed Effect Estimators (ii) Random Effects and GLS (iii) Hausman Test (7) Panel Data II: (i) Dynamic panel data models, (ii) Introduction to Generalized Moment estimators
(GMM)