ECON 589 (Fall 2000)

Topics in Advanced Econometrics

Instructor: Prof. Herman J. Bierens (Tel.: 865-4921, email: hbierens@psu.edu).
Office hours: To be announced
T.A.: None
Time and place: 6-9 PM, in 403 Kern

Prerequisite level:

ECON 501.2 + ECON 510.2 + ECON 511.

Required Texts:

• [BT] Bierens (1994): Topics in Advanced Econometrics, Cambridge University Press (paperback version)
• [CR] Cramer (1986): Econometric Applications of Maximum Likelihood Methods, Cambridge University Press (Out of print, but I have the consent of the author to distribute photo copies.)

This course consists of two parts: a core part that covers nonlinear estimation and panel data models, and an elective part consisting of a coherent choice of other topics. These other topics will be decided upon in consultation with the students. However, I am willing to substitute some of the core topics for elective topics.

Each week a number of exercises will be assigned as homework. The final grade is determined by the homework (10%), a written midterm exam (30%), a written final exam (30%), and a term paper (30%).

Core topics (tentative):

1. OVERVIEW OF ASYMPTOTIC THEORY
   [BT, Ch. 1-3; lecture notes]
2. NONLINEAR PARAMETRIC REGRESSION ANALYSIS
   [BT, Ch. 4]
3. MAXIMUM LIKELIHOOD THEORY
   [BT, Ch. 4; lecture notes]
4. APPLICATIONS OF MAXIMUM LIKELIHOOD METHODS:
   1. Concentrating the likelihood function
      [CR, Ch.5, pp.59-62]
   2. Generalized classical regression, SURE and GLS
      [CR, Ch.6-7, pp. 79-108]
   3. Discrete choice models
      [CR, Ch. 10, pp.150-171]
   4. Limited dependent variables models
      [CR, Ch. 11; AM]
   5. Duration models
      [CR, Ch. 12, pp. 186-193]
5. (NONLINEAR) GENERAL METHOD OF MOMENTS ESTIMATION
   [BT, Chapt. 5; HA; lecture notes]
6. PANEL DATA MODELS
   [Lecture notes]
7. NONPARAMETRIC REGRESSION
   [BT, Ch.10, pp.1-42; BP; B2]

Elective topics (tentative):

1. ADVANCED TIME SERIES TOPICS:
   1. Conditioning on infinitely many random variables.
      [BT, Ch.6, pp. 1-5]
   2. Functional specification of time series models.
      [BT, Ch.7, pp. 1-7]
   3. ARMAX modeling
      [BT, Ch.8; BB]
   4. ARMA Memory Index Modeling
      [BT, Ch. 7]
   5. Nonlinear nonparametric co-trending analysis
      [B4]
2. INTEGRATED CONDITIONAL MOMENT TESTS
   [BT, Ch.3; BP2; DJ; B1; B3]
3. ANY OTHER TOPIC YOU WANT TO KNOW MORE ABOUT

Literature:

[AM]

Amemiya (1981): "Qualitative Response Models: A Survey", Journal of Economic Literature XIX, 1483-1536

[B1]

Bierens (1982): "Consistent Model Specification Tests", Journal of Econometrics 20, 105-134.

[B2]

Bierens (1987): "Kernel Estimators of Regression Functions", in: Truman F.Bewley (ed.), Advances in Econometrics: Fifth World Congress, Vol.I, New York: Cambridge University Press, 99-144.

[B3]

Bierens (1990): "A Consistent Conditional Moment Test of Functional Form", Econometrica 58, 1443-1458.

[B4]

Bierens (2000): "Nonparametric Nonlinear Co-Trending Analysis, with an Application to Inflation and Interest in the U.S.", Journal of Business & Economic Statistics.

[BB]

Bierens and Broersma (1993): "The relation between unemployment and interest rate: some international evidence", Econometric Reviews 12, 217-256.

[BP1]

Bierens and Pott-Buter (1990): "Specification of Household Engel Curves by Nonparametric Regression", Econometric Reviews 9, 123-184

[BP2]

Bierens and W.Ploberger (1997), "Asymptotic Theory of Integrated Conditional Moment Tests", Econometrica 65, 1129-1152

[DJ]

De Jong (1996), "The Bierens test under data dependence", Journal of Econometrics 72, 1-32.

[HA]

Hansen (1982): "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica 50, 1029-1054

Disability Message:

The Pennsylvania State University encourages qualified persons with disabilities to participate in its programs and activities. If you anticipate needing any type of accommodation in this course or have questions about physical access, please tell the instructor as soon as possible.