Week

Lecture A

Tuesday 1-2

Lecture B

Tuesday 2-3

Lab Exercise

Tues 3-4 Curran 5.84

Tutorial class

Tues. 10-11

1

RA

Cross sectional data regression modelling.

Lecture 1

Thomas: Chs 7, 9

S&W: Chs 1, 2,3 (revision) and 4, 5, 6, 7,

Testing regression model assumptions: normality and functional form

Lecture 2.1

Lecture 2.2

Thomas: Chs 12 S&W: Ch 4, 5, 6, 7

Computer session 1

Lab exercise 1

Excel file

Introduction to the module.

Reading.doc

2

RA

Testing regression model assumptions: heteroscedasticity

Lecture 3

Thomas: Chs 10

S&W: Chs 4, 5

Misspecification testing. Parameter constancy and structural stability.

Lecture 4

Thomas: Chs 9.5

S&W: Ch 12.7

Computer session 2

Testing for Parameter Constancy

Lab exercise 2

Review of week 1and week 2 classes and exercises

3

AP

Panel data and simple panel regression models

Lecture 5

S&W: Ch 8

Lecture 6

Binary dependent variables

Thomas: Chs

S&W: Ch 9

Fixed effects panel estimation

Binary dependent variables

Lab exercise 3

Excel file for lab exercise

Review of week 2 exercises

4

AP

Stochastic regressors, weak exogeneity. The instrumental variables estimator

Lecture 7

Thomas: Chs 8

S&W: Ch 10

Testing for exogeneity

Computer sess. 4: Instrumental variables estimation

Lab Exercise 4

Exercise 4 data

Review of week 3 exercises:

5

RA

Dynamic regression models and serial correlation. Its consequences.

Lecture 9

Thomas Ch 10,11

S&W Ch 12, 13, 14

Modelling long run and short run economic relationships.

The error correction mechanism (ECM) model.

Lecture 10

Thomas: Chs 13

S&W: Ch 12, 14

Computer session 5: Dynamic regression modelling

Lab exercise 5

Microfit file for lab exercise

PcGive files (both must be downloaded)

PcGive (in7) file

PCGive (bn7) file

Review of week 4 exercises

Instrumental variables estimation

6

RP

Stationarity and non-stationarity, unit roots, and spurious regression.

Lecture 11

S&W: Ch 12.6 to 12.8 and 14.3

Thomas Ch 13 and 14

Unit root tests: methods and problems.

Lecture 12

S&W Ch 12.6 to 12.8, 14.3

Thomas Ch 14

ADF regressions and serial correlation

Computer session 6:

Lab exercise 6a: generating time series.

Lab exercise 6b: unit root testing

Excel file for lab exercise

Review of week 5 exercises

7

RP

Cointegration in single equations

Lecture 13.ppt

Unit roots and cointegration (Additional reading)

Thomas: Chs 13, 15

S&W: Ch 14.4

Cointegration in single equations

Lecture 14.ppt

Unit roots and cointegration (Additional reading)

Thomas: Chs 13, 15

S&W: Ch 14.4

Lab exercise: Cointegration modelling

Tutorial 7.xls

cons.txt

Review of week 6 exercises

Solutions to Lab exercise 6b (please read only AFTER you have finsished exercise)

8

RP

Lecture Notes: Forecasting using time series models with ARIMA approach

Thomas: Chs

S&W: Ch 12

Forecasting with ARIMA models

S&W Ch 12

ARIMA based forecasting

sim.xls

wpi.xls

arma.xls

Review of week 7 exercises Cointegration modelling

Solutions to Lab exercise

ARIMA modelling