UNIVERSITY OF MACAU FACULTY OF BUSINESS ADMINISTRATION BACHELOR'S DEGREE PROGRAMME

ECIF311 ECONOMETRICS II
Second Semester 2010-2011
Instructor Contacts P. S. Tam Office: L430 (Thursday 4:00 p.m. - 7:00 p.m. Or By appointment.) Phone: 8397-4756 Email: pstam@umac.mo Friday 1:00 p.m. - 4:00 p.m. J207 http://webcourse.umac.mo

Class Website

Description:
This course focuses on basic econometric techniques, emphasizing both technical derivations and practical applications. The linear regression model will be reviewed using matrix algebra, and its limitations addressed. Topics on dynamic models, random regressors, simultaneous equations models, and time series econometrics will be covered. If time permits, panel data models and qualitative and limited dependent variable models will also be discussed. Upon completing this course, students are expected to be able to undertake their own econometric analysis.

Prerequisite:
ECIF310 or equivalent. In general, knowledge in basic economic theory, calculus, probability and statistics is required.

Textbook:
Hill, R.C., Griffiths, W.E., and Lim, G.C. Principles of Econometrics, Third Edition. John Wiley & Sons, Inc. 2008. Griffiths, W.E., Hill, R. C., and Lim, G.C. Using EViews for Principles of Econometrics, Third Edition. John Wiley & Sons, Inc. 2008. (They are available from the university bookstore as a bundle with student discount.) Textbook website: http://as.wiley.com/WileyCDA/WileyTitle/productCd-EHEP001750.html?filter= TEXTBOOK.

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References:
Gujarati, D.N., and Porter, D.C. Basic Econometrics. McGraw-Hill. Stock, J.H. and Wason, M.W. Introduction to Econometrics, Pearson Higher Education. Wooldridge, J. Introductory Econometrics: A Modern Approach, South-Western Cengage Learning.

Software:
EViews. EViews 6 Student Version comes with the textbook purchase. EViews 7 is available in the university computing network.

Content:
Topic Review of Matrix Algebra Matrix Approach to Linear...

...Introduction to Econometrics coursework
For the assignment I will examine whether or not a linear regression model is suitable for estimating the relationship between Human development index (HDI) and its components. Linear Regression is a statistical technique that correlates the change in a variable to other variable/s, the representation of the relationship is called the linear regression model.
Variables are measurements of occurrences of a recurring event taken at...

...ECO
1 chapter
An overview of regression analysis
Econometrics – literally ,,economic measurement” is the quantitative measurement and analysis of actual economic and business phenomena.
Econometrics has three major uses:
1) Describing economic reality
2) Testing hypothesis about economic theory
3) Forecasting future economic activity
The simplest use of econometrics is description.
For most goods, the relationship between...

...Answers to Selected
Exercises
For
Principles of Econometrics, Fourth Edition
R. CARTER HILL
Louisiana State University
WILLIAM E. GRIFFITHS
University of Melbourne
GUAY C. LIM
University of Melbourne
JOHN WILEY & SONS, INC
New York / Chichester / Weinheim / Brisbane / Singapore / Toronto
CONTENTS
Answers for Selected Exercises in:
Probability Primer
1
Chapter 2
The Simple Linear Regression Model
3
Chapter 3
Interval Estimation and...

...Question1
Equation1
We are interested in investigating the relationship between income among countries in trade liberalization period and not in trade liberalization period. This equation 1 accommodates different intercepts and slopes for years after and before trade liberalization. Sigma, is the standard deviation of the natural logarithm of real per worker income and t for year. Dr is dummy-variable regressor or an indicator variable, is coded 1 for all years after the trade...

...Mostly Harmless Econometrics: An Empiricist’ Companion s
Joshua D. Angrist Massachusetts Institute of Technology Jörn-Ste¤en Pischke The London School of Economics
March 2008
ii
Contents
Preface Acknowledgments Organization of this Book xi xiii xv
I
Introduction
1
3 9 10 12 16
1 Questions about Questions 2 The Experimental Ideal 2.1 2.2 2.3 The Selection Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random...

...format):
Regressor tradeshare Coefficient 1.34 (0.88) 0.56** (0.13) −2.15* (0.87) 0.32 (0.38) −0.00046** (0.00012) 0.626 (0.869) 1.59 0.29 0.23
yearsschool rev_coups assasinations rgdp60 intercept SER R2 R2
116
Stock/Watson - Introduction to Econometrics - Second Edition
The coefficient on Rev_Coups is −2.15. An additional coup in a five year period, reduces the average year growth rate by (2.15/5) = 0.43% over this 25 year period. This means the GPD in 1995 is...

...
AN ECONOMETRIC ANALYSIS OF ENERGY CONSUMPTION AND ECONOMIC GROWTH IN TURKEY
ABSTRACT
It is commonly maintained that energy is an imporant input of industrial growth and, in this way, economical development. The scarcity of energy resources in the world make the relation between economic development and energy consumption more significant. In this study, the possible cointegration is inspected by Engle-Granger and Johansen Tests and the direction of the causality is...

...Journal of Business, 59(July), 383-403.
FAMA E.F., 1981. “Stock Returns, Real Activity, Inflation, and Money.” American EconomicReview, 71(4), 545-565.
FISHER, I., 1930. The Theory of Interest, Macmillan, New York.
GUJRATI, D., 2009. Basic Econometrics, McGraw Hill, Fifth Edition, International Edition.
HAMAO, Y., 1988. “An empirical investigation of the arbitrage pricing theory,” Japan and the World economy, 1, 45-61.
MILLER, M. H. AND MODIGLIANI, F., 1961....

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