APPLIED ECONOMETRICS
CEU, Economics Department


Lectures:  Gábor Kõrösi
Computer sessions: Ádám Reiff
Course: 4 credits
 

Course Description

The subject is organized around selected economic problems. Each economic problem has already been extensively
analysed by econometric techniques. Lectures will review some important empirical studies of the topic, explaining the
way the economic problem was represented by an econometric model. The course will concentrate on the practical use
of econometric methods, reviewing the relevant methodology, its use, and the possible alternative modelling approaches.
The lectures are supplemented by computer classes, where students can gain hands-on experience in applied econometric
analysis.
 

Course Outline:
 

Lecture 1: The demand for electricity

Econometric theme: Time series sample; error autoecorrelation; functional form.
 

Lecture 2: Causality and simultaneity between advertising and sales

Econometric theme: Models of stationary time series: DL, AR, ARMA; Granger causality, exogeneity
 

Lecture 3: Riskmetrics I: ARCH

Econometric theme: ARCH model family.
 

Lecture 4: Modelling the interrelated demands for factors of production

Econometric theme: Multi-equation models.
 

Lecture 5: Small simultaneous macromodels

Econometric theme: Simultaneity.
 

Lecture 6: Money demand I: Cointegration and error correction.

Econometric theme: Single equation cointegration and error correction
 

Lecture 7: New Keynesian Phillips curves

Econometric theme: Dynamic specification, VAR
 

Lecture 8: Money Demand II: Cointegration: Johansen

Econometric theme: Cointegration and error correction using Johansen's method
 

Lecture 9: Returns to scale and price markups

Econometric theme: Panel data models.
 

Lecture 10: Whether and how much women work for pay

Econometric theme: Qualitative and truncated dependent variables
 

Lecture 11: Riskmetrics II: Transaction level data modelling

Econometric theme: Duration models, ACD.
 

Lecture 12: Modelling strategies

Conference presentations (group assignment)
 
 

Assessment:

For audit: Students should get at least 50% for the projects; exam is not required.

For grade: The final mark will be composed of two components: projects and examination.

A. Projects: Students will have to complete two empirical projects during the semester; one group assignment and
another individual one.

i.) Group assignment:
Randomly selected groups will have to do a joint empirical analysis, and to write a report on a given topic. They will have
to explore some macroeconomic processes in specific countries, using econometric tools for inference. They will have to
compare the behavioural patterns of the analysed economies. The empirical results should be summarised in a report,
and also presented at the conference session on the practical classes last week. Reports should be filed on
13 November 2006 (Monday), or before. Data used for the empirical work should also be attached. Both the report and
the dataset must be submitted in an electronic form. Each group will have to discuss two reports at the conference session.
30 minutes will be allocated to each report at the conference session: 15 min for presentation, 5-5 min for both discussants,
and 5 min for general discussion. Groups will be marked instead of individuals, i.e., each group member will get the same
mark for the joint work. Weights: 10% for the report, 5% for the presentation, 5-5% for the two discussions. (Total: 25%)

ii.) Individual assignment:
Each student can choose any topic and suitable dataset for the project, except for the topic of the group assignment.
Reports should be filed on 28 November 2006 (Tuesday), or before. The report must include:

The report should not exceed 10 double spaced pages (i.e., about 3000 words), although appendices can be attached
(e.g., printed output of estimation results). Be brief, be precise, and do not waffle. Excessively long reports will be penalized.
Reports should be typewritten. Attach the dataset to your report on disk.IMPORTANT: ONLY INDIVIDUAL WORK CAN BE ACCEPTED!!!!

The individual assignment gives 25% of the final mark.

B. Examination: Its weight is 50% of the final mark.