Advanced Econometrics 1 (4EK608)

Pokročilá ekonometrie 1 (4EK416)

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Course(s) held by:
Tomas Formanek
Department of Econometrics
Faculty of Informatics and Statistics
University of Economics, Prague

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Requirements and classification

• Detailed information provided here
• Literature and other supporting materials for the course
• Final exam topics

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Block 1: Estimators and predictions

• Repetition from BSc courses
• LRM estimators & non-linear extensions
• Predictions from regression models

Materials for Block 1

• Download presentation slides for Block 1
• Download R scripts for Block 1 (zip)
• Block 1 - seminar outline

Reading, self-study, and supplementary materials

• Wooldridge, J.: Introductory econometrics, 6th ed.: Chapters 1-5, Appendices C-1 to C-4. (basic topics)
• Greene, W.: Econometric analysis, 7th ed., 8th ed. : Part III Estimation Methodology (text covers numerous advanced topics, many are outside the syllabus of our coursse).
• An Introduction to Statistical Learning, chapter 5 of the textbook

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Block 2: Regression models based on time series

• Stationarity, cointegration
• Error correction model (ECM)
• Distributed lag models, PAM, AEH

Materials for Block 2

• Download presentation slides for Block 2
• Download R scripts for Block 2 (zip)
• Block 2 - seminar outline

Reading, self-study, and supplementary materials

• Wooldridge, J.: Introductory econometrics, 6th ed.: Part 2: Regression Analysis with Time Series Data, ch.10-ch.12. (basic topics)
• Wooldridge, J.: Introductory econometrics, 6th ed.: chapter 18.
• Zivot, E., Wang, J.: Modelling Financial Time Series with S-PLUS, 2nd ed.: chapters 3,4,6 and 12.

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Block 3: Panel data models

• Panel data
• Short panels: estimators & testing
• Long panels: SURE
• Introduction to large panels & corresponding estimators

Materials for Block 3

• Download presentation slides for Block 3
• Download R scripts for Block 3 (zip)
• Block 3 - seminar outline

Reading, self-study, and supplementary materials

• Wooldridge, J.: Introductory econometrics, 6th ed.: Part 3, ch.13 and ch.14. (basic topics)
• Greene, W.: Econometric analysis, 7th ed., 8th ed. : ch. 11 - Models for panel data
• PhD-level course on panel data from NYU

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Block 4: Instrumental variable regression and simultaneous equation models

• Instrumental variables, IVR
• Identification
• Simultaneous equation models (SEMs)

Materials for Block 4

• Download presentation slides for Block 4
• Download R scripts for Block 4 (zip)
• Block 4 - seminar outline

Reading, self-study, and supplementary materials

• Wooldridge, J.: Introductory econometrics, 6th ed.: Part 3, ch.15 and ch.16. (basic topics)
• Greene, W.: Econometric analysis, 7th ed., 8th ed. : ch. 8 - Endogeneity and Instrumental Variable Estimation
• Greene, W.: Econometric analysis, 7th ed., 8th ed. : ch. 10 - Systems of Equations

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Block 5: Vector autoregression (VAR) models

• VAR models
• Impulse-response functions (IRFs)
• Vector error correction models (VECMs)

Materials for Block 5

• Download presentation slides for Block 5
• Download R scripts for Block 5 (zip)
• Block 5 - seminar outline

Reading, self-study, and supplementary materials

• Zivot, E., & Wang, J. Modelling Financial Time Series with S-PLUS, ch. 11 - VAR models for multivariate time series
• Zivot, E., & Wang, J. Modelling Financial Time Series with S-PLUS, ch. 12 - Cointegration

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Block 6: Limited dependent variables (LDVs) - repetition from BSc. courses

Not in the syllabus of 4EK416 / 4EK608 course (topic moved to BSc. courses)
Material intended for self-study and preparation for state exams

• Binary dependent variables
• Count dependent variables
• Multinomial dependent variables (unordered, ordered)
• Other types of LDVs (corner solution, censored, truncated data)

Materials for Block 6

• Download presentation slides for Block 6
• Download R scripts for Block 6 (zip)
• Block 6 - seminar outline

Reading, self-study, and supplementary materials

• Wooldridge, J.: Introductory econometrics, 6th ed.: Part 3, ch.17. (basic topics)

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Please note that lectures (pdf presentations) and seminar workfiles (R scripts) can be updated without prior notice:

• clarifications, small edits and error corrections are made often,
• as R packages are updated, syntax of various command and functions can change.

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Support materials & R help

• Install R/Rstudio at home: R / RStudio
• Setup a convenient R working directory - eg. RWD folder on your desktop. Instructions
• For help, you can use stackoverflow - note the [r] in question box.

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