Advanced Econometrics 1 (4EK608)
Pokročilá ekonometrie 1 (4EK416)
Course(s) held by:
Tomas Formanek
Department of Econometrics
Faculty of Informatics and Statistics
University of Economics, Prague
Requirements and classification
Block 1: Estimators and predictions
- Repetition from BSc courses
- LRM estimators & non-linear extensions
- Predictions from regression models
Materials for Block 1
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
Block 2: Regression models based on time series
- Stationarity, cointegration
- Error correction model (ECM)
- Distributed lag models, PAM, AEH
Materials for Block 2
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.
Block 3: Panel data models
- Panel data
- Short panels: estimators & testing
- Long panels: SURE
- Introduction to large panels & corresponding estimators
Materials for Block 3
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
Block 4: Instrumental variable regression and simultaneous equation models
- Instrumental variables, IVR
- Identification
- Simultaneous equation models (SEMs)
Materials for Block 4
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
Block 5: Vector autoregression (VAR) models
- VAR models
- Impulse-response functions (IRFs)
- Vector error correction models (VECMs)
Materials for Block 5
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
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
Reading, self-study, and supplementary materials
- Wooldridge, J.: Introductory econometrics, 6th ed.: Part 3, ch.17. (basic topics)
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.
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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