ECON 589 (Spring 2002)

Topics in Advanced Econometrics with Applications

Instructor: Prof. Herman J. Bierens (Tel.: 865-4921, email: hbierens@psu.edu).
Office hours: Tuesday 2-4 PM
T.A.: None
Time: Thursday 7-10 PM
Place: 413 Kern

Prerequisite level:

ECON 501 + ECON 510 + 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.)

The initial list of topics is tentative. The actual list of topics below has been decided upon in consultation with the students.

There will be no homework or exams. Instead, you have to write a substantial term paper, empirical or theoretical, which incorporates a subset of the topics taught in class. Consequently, class attendance is mandatory!

A theoretical term paper may take the form of a review paper of one or more of the topics taught in class.

Your grade will be determined by my judgement of the originality, substance, and correctness of the term paper. The term paper is due on the scheduled final exam date.

Topics taught:

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. Discrete choice models
      [CR, Ch. 10, pp.150-171]
   2. Limited dependent variables models
      [CR, Ch. 11; AM]
   3. 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]
8. ADVANCED TIME SERIES TOPICS, PART 1:
   1. ARCH and GARCH estimation
   2. Stationarity tests
9. INTEGRATED CONDITIONAL MOMENT TESTS
   [BT, Ch.3; BP2; DJ; B1; B3]
10. NEURAL NETWORK MODELING
11. ADVANCED TIME SERIES TOPICS, PART 2:
    1. Nonparametric cointegration analysis.
       [Lecture notes]
    2. ARMA Memory Index Modeling
       [BT, Ch. 7]

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.

[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.