MA Advanced Econometrics, 2011

This is the website for MA Advanced Econometrics (ECON 41850).

The final exam for this module will take place between 9am and 12pm on Monday May 9 at the Blackrock Exam Centre. The exam will contain four equally-weighted sections with materials from the four separate sections of the module taught by Mike Harrison, Karl Whelan, Paul Devereux and Kevin Denny.

Paul Devereux's lecture notes are available here.


Karl Whelan's Lecture Notes

1. Asymptotics

2. Properties of Least Squares Estimators

3. Applying Least Squares to Time Series

4. Spurious Regressions and Cointegration

5. Finite-Sample Distributions, Bootstrapping



Bruce Hansen's Econometrics Textbook


RATS Programs

Central Limit Theorem Example

Simulating Unit Roots Without Drift

Simulating Unit Roots With Drift

Spurious Regression Example

Testing for Cointegration

AR(1) Biases with Rho = 0.7

AR(1) Biases for T=50 and Various Values of Rho

Spurious Regressions with Stationary Series